The book is available here at Amazon http://amzn.to/2mtRhVS
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...
Chapter 2: Credit Derivative Products
What is a default swap?
Why default swaps?
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...
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...
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...
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,