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  1. David Harper CFA FRM

    The Credit Default Swap Basis by Moorad Choudhry 2017-03-15

    The book is available here at Amazon http://amzn.to/2mtRhVS TOC A Primer on Credit Default Swaps 1 Bond Spreads and Relative Value 37 The CDS Basis I: The Relationship Between Cash and Synthetic Credit Markets 59 Supply and Demand and the Credit Default Swap Basis 89 The CDS Basis II:Further...
  2. David Harper CFA FRM

    FRM prior Credit Derivatives (Application, Pricing, and Risk Management) by Gunter Meissner 2017-03-04

    Chapter 2: Credit Derivative Products Default Swaps What is a default swap? Why default swaps? The terminology Features of default swaps The default swap premium The reference obligation What constitutes default? Cash versus physical settlement Hedging with default swaps Does a default swap...
  3. N

    GARP.FRM.PQ.P2 2016 GARP PQ - Question 5 - CDS (garp16-p2-5)

    Hi, Mr. Harper, I would like to know whether the following 2 question (Valuation of CDS & Sklar's theorem) are still in the syllabus as I cannot find the formula in the notes. Thanks;)
  4. C

    Real world application: Deriving default probabilities from observed CDS spreads

    Hi there, I have to solve a problem which is actually a real world application of Malz, Chapter 7 - Bootstrapping default probabilities given an observable CDS spread curve. Please refer to the excel attached: I have created an excel spreadsheet that should do the calculation. What it...
  5. J

    CDS and CDS Index long or short

    Hi, I just got confused concerning "to be long or short a CDS". Is this correct? "Long CDS" means to be the protection buyer (which is equivalent to be short the bond) "Short CDS" means to be the protection seller (which is equivalent to be long the bond) Is the same true for a CDS Index...
  6. J

    CDS vs TRS vs CLN

    Hi David, I've got a short question on the above mentioned. Am I correct to say that the CDS is an unfunded protection due to only contingent payoffs? And TRS would be partially funded and lastly CLN is funded. Thanks and regards, jk
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