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The Credit Default Swap Basis by Moorad Choundhry

Forex Trading – Foreign Exchange Course

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Description

Credit default swaps (CDSs) have become more important in the state of the credit market as a result of the expansion of the credit derivatives market. To utilize these tools effectively, one must be aware of how they operate and what they can and cannot provide.

The strong ties between the cash and synthetic credit markets that are evident in the foundation for credit default swaps are examined in this book. Choudhry discusses:

consequences for market players of the basic factors
on the basis of the CDS index

The Credit Default Swap Basis is an interesting and satisfying read for anybody with an interest in the global debt markets as well as credit market investors and traders.

Summary of Contents

Foreword.

Preface.

regarding the author.

1 A Credit Default Swaps Overview.

2 Relative Value and Bond Spreads.

3 The Cash and Synthetic Credit Market Relationship in The CDS Basis I

4 Demand and supply as well as the basis for credit default swaps.

5 The CDS Basis II: Additional Analysis of the Difference between the Cash and Synthetic Credit Markets.

6 Using Positive and Negative Basis Arbitrage Trades to Trade the CDS Basis.

Appendix I: Bloomberg Screen CDSW Description.

The Market Approach to CDS Pricing is in Appendix II.

Market-Implied Timing of Default from CDS Prices is in Appendix III.

Glossary.

Index.

CFA Institute Qualified Activity for Professional Development (7 hours).

Details about the Author

Head of Treasury at KBC Financial Products in London is Dr. Moorad Choudhry. He holds appointments as a senior fellow at the Centre for Mathematical Trading and Finance at Cass Business School, a visiting research fellow at the ICMA Centre at the University of Reading, a visiting professor at the Department of Economics at London Metropolitan University, and a fellow of the Securities and Investment Institute. Numerous works, including Fixed-Income Securities and Derivatives Handbook, were written by Choudhry.

Reviews

“A relevant and thorough book on a significant topic in the credit derivatives market. Moorad Choudhry’s seminal work on the basis, the drivers, and the behavior of credit default swaps will be of great use to investors.
— Suleman Baig
Global Markets at Deutsche Bank

“Market players will need to grasp the credit market’s cash-synthetic basis as credit default swaps become an increasingly significant instrument for bank risk management. This is a superb exposition of the subject that offers crucial information to both traders and investors.
Abu Dhabi Commercial Bank’s Mohamoud Barre Dualeh

An outstanding account that will undoubtedly be invaluable to market practitioners.
Synthetic ABCP Operations, KBC Financial Products — Mark Burgess

Salepage : The Credit Default Swap Basis by Moorad Choundhry