Home » CDS Delivery Option: Better Pricing of Credit Default Swaps by David Boberski
CDS Delivery Option: Better Pricing of Credit Default Swaps David Boberski

CDS Delivery Option: Better Pricing of Credit Default Swaps

David Boberski

Published May 13th 2010
ISBN :
Kindle Edition
224 pages
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 About the Book 

For traders trying to navigate the increasingly volatile credit default swap market, CDS Delivery Option provides worked-out examples, over 30 charts, a case study of Delphi, and detailed explanations of how the subprime crisis caused the creditMoreFor traders trying to navigate the increasingly volatile credit default swap market, CDS Delivery Option provides worked-out examples, over 30 charts, a case study of Delphi, and detailed explanations of how the subprime crisis caused the credit crisis and the near collapse of the GSEs.  The book includes detailed information on: how to value a CDS contracthow to value the delivery optionhow contract value changes when the yield curve flattens or becomes steeperhow contract value changes with bullish or bearish market moveshow to figure out when to buy protection and when to sell protectionhow to hedge CDS riskwhen and how to unwind a contract prior to settlementwhen to hold a trade through deliveryhow to navigate a squeeze (when the notional value of contracts going through delivery is larger than the supply of the cheapest-to-deliver issue)when buying contracts can make their prices go downhow to construct a basis tradehow to find arbitrage opportunitieshow to analyze default probability and corporate debtwhen to settle via auction and when to settle via physical deliverywhich note is the cheapest to deliverThis book is an indispensable resource for all market professionals working in the CDS market.