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Credit Derivatives Handbook, Vol. 1: A Guide to Single-Name and Index CDS Products

Posted on 2010-04-14




Name:Credit Derivatives Handbook, Vol. 1: A Guide to Single-Name and Index CDS Products
Language:English
File size:3.2 Mb
Publish Date: 2006
ISBN: : N/A
Pages: 118 pages
File Type: PDF
File Size: 3,2 MB
Other Info: Merrill Lynch
  

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Merrill Lynch, ""

Merrill Lynch report from 2006

Table of Content:

Section Page

Credit Derivatives –

A Market Overview

1.Market evolution, importance, participants and challenges 3

CDS Basics & Valuation

2. Basic concepts, arbitrage relationship, survival probabilities 11

Unwinding CDS

3. Mechanics for terminating contracts 21

Upfront Pricing of CDS

4. Compare upfront vs. running CDS spread 29

Valuing the CDS Basis

5. Comparing CDS with the cash market 37

What Drives the Basis?

6. Why do cash and default market spreads diverge? 47

CDS Structural Roadmap

7. Key structural considerations 54

CDS Indices

8. The ABCs of CDX and iTraxx indices 73

CDS Investment Strategies

9. Using CDS to enhance returns 88

Counterparty Risk

10. Credit risks associated with CDS trades, Novation Protocol 112

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