Credit Default Swaps

Credit Default Swaps Book in PDF, ePub and Kindle version is available to download in english. Read online anytime anywhere directly from your device. Click on the download button below to get a free pdf file of Credit Default Swaps book. This book definitely worth reading, it is an incredibly well-written.

Credit Default Swaps

Marti Subrahmanyam,Patrick Augustin,Dragon Yongjun Tang
Credit Default Swaps Book PDF

Author : Marti Subrahmanyam,Patrick Augustin,Dragon Yongjun Tang
Publisher : Now Publishers
Page : 150 pages
File Size : 50,6 Mb
Release : 2014-12-19
Category : Business & Economics
ISBN : 1601989008

Get Book

Credit Default Swaps by Marti Subrahmanyam,Patrick Augustin,Dragon Yongjun Tang Pdf

Credit Default Swaps: A Survey is the most comprehensive review of all major research domains involving credit default swaps (CDS). CDS have been growing in importance in the global financial markets. However, their role has been hotly debated, in industry and academia, particularly since the credit crisis of 2007-2009. The authors review the extant literature on CDS that has accumulated over the past two decades and divide the survey into seven topics after providing a broad overview in the introduction. The second section traces the historical development of CDS markets and provides an introduction to CDS contract definitions and conventions. The third section discusses the pricing of CDS, from the perspective of no-arbitrage principles, structural, and reduced-form credit risk models. It also summarizes the literature on the determinants of CDS spreads, with a focus on the role of fundamental credit risk factors, liquidity and counterparty risk. The fourth section discusses how the development of the CDS market has affected the characteristics of the bond and equity markets, with an emphasis on market efficiency, price discovery, information flow, and liquidity. Attention is also paid to the CDS-bond basis, the wedge between the pricing of the CDS and its reference bond, and the mispricing between the CDS and the equity market. The fifth section examines the effect of CDS trading on firms' credit and bankruptcy risk, and how it affects corporate financial policy, including bond issuance, capital structure, liquidity management, and corporate governance. The sixth section analyzes how CDS impact the economic incentives of financial intermediaries. The seventh section reviews the growing literature on sovereign CDS and highlights the major differences between the sovereign and corporate CDS markets. The eighth section discusses CDS indices, especially the role of synthetic CDS index products backed by residential mortgage-backed securities during the financial crisis. The authors close with our suggestions for promising future research directions on CDS contracts and markets.

The Credit Default Swap Basis

Moorad Choudhry
The Credit Default Swap Basis Book PDF

Author : Moorad Choudhry
Publisher : Bloomberg Press
Page : 0 pages
File Size : 50,8 Mb
Release : 2027-06-22
Category : Business & Economics
ISBN : 0470915838

Get Book

The Credit Default Swap Basis by Moorad Choudhry Pdf

An up-to-date resource on the intricacies of the credit default swap basis While credit default swaps and credit derivatives are of great concern to many in the field of finance, the Second Edition of The Credit Default Swap Basis does not directly focus on these issues. It is instead about an aspect of CDS behavior, the basis, which is of importance to all users of CDS products. An understanding of the basis is essential to anyone involved in the credit-risky debt capital markets, whether you're an investor, trader, or broker. The credit default swap basis (the basis) defines the relationship between the cash and synthetic credit markets. Finance professionals need to understand the drivers of the basis in order to better undertake investment and value analysis, and for trading purposes. In this updated Second Edition, author Moorad Choudhry, a market practitioner who has published widely in the field of credit derivatives, explores this dynamic discipline and examines the structural changes in the CDS market, including new settlement mechanisms and contract standardization. Along the way, he describes how basis pricing has changed in the aftermath of the financial crisis and what that change means in regard to overall market and trading opportunities. The only book on basis issues of credit default swaps, it provides practitioners with vital information on valuation, credit risk assessment, and basis trading strategies Addresses structural changes to the market, including the introduction of central clearing houses in the U.S. and Europe and standardization of contracts to reduce disputes about payout settlements Covers the close relationship between the synthetic and cash markets in credit, which manifests itself in the credit default swap basis The Credit Default Swap Basis, Second Edition offers invaluable market insights to all financial professionals seeking a deeper understanding of credit derivatives and fixed income securities.

Credit Default Swaps

Christopher L. Culp,Andria van der Merwe,Bettina J. Stärkle
Credit Default Swaps Book PDF

Author : Christopher L. Culp,Andria van der Merwe,Bettina J. Stärkle
Publisher : Springer
Page : 331 pages
File Size : 40,9 Mb
Release : 2018-07-12
Category : Business & Economics
ISBN : 9783319930763

Get Book

Credit Default Swaps by Christopher L. Culp,Andria van der Merwe,Bettina J. Stärkle Pdf

This book, unique in its composition, reviews the academic empirical literature on how CDSs actually work in practice, including during distressed times of market crises. It also discusses the mechanics of single-name and index CDSs, the theoretical costs and benefits of CDSs, as well as comprehensively summarizes the empirical evidence on important aspects of these instruments of risk transfer. Full-time academics, researchers at financial institutions, and students will benefit from the dispassionate and comprehensive summary of the academic literature; they can read this book instead of identifying, collecting, and reading the hundreds of academic articles on the important subject of credit risk transfer using derivatives and benefit from the synthesis of the literature provided.

An Introduction to Credit Derivatives

Moorad Choudhry
An Introduction to Credit Derivatives Book PDF

Author : Moorad Choudhry
Publisher : Butterworth-Heinemann
Page : 173 pages
File Size : 54,5 Mb
Release : 2012-12-31
Category : Business & Economics
ISBN : 9780080982984

Get Book

An Introduction to Credit Derivatives by Moorad Choudhry Pdf

The second edition of An Introduction to Credit Derivatives provides a broad introduction to products and a marketplace that have changed significantly since the financial crisis of 2008. Author Moorad Choudhry gives a practitioner's perspective on credit derivative instruments and the risks they involve in a succinct style without sacrificing technical details and scientific precision. Beginning with foundational discussions of credit risk, credit risk transfer and credit ratings, the book proceeds to examine credit default swaps and related pricing, asset swaps, credit-linked notes, and more. Ample references, appendices and a glossary add considerably to the lasting value of the book for students and professionals in finance. A post-crisis guide to a powerful bank risk management product, its history and its use Liberal use of Bloomberg screens and new worked examples increase hands-on practicality New online set of CDS pricing models and other worksheets multiply the book's uses

Credit Default Swaps - Pricing, Valuation and Investment Applications

Panagiotis Papadopoulos
Credit Default Swaps Pricing Valuation and Investment Applications Book PDF

Author : Panagiotis Papadopoulos
Publisher : GRIN Verlag
Page : 61 pages
File Size : 55,9 Mb
Release : 2011-04
Category : Electronic
ISBN : 9783640891498

Get Book

Credit Default Swaps - Pricing, Valuation and Investment Applications by Panagiotis Papadopoulos Pdf

Seminar paper from the year 2010 in the subject Business economics - Investment and Finance, grade: 67%, University of Westminster (Westminster Business School), course: Financial Derivatives, language: English, abstract: "A credit default swap (CDS) is a bilateral agreement designed explicitly to shift credit risk between two parties. In a CDS, one party (protection buyer) pays a periodic fee to another party (protection seller) in return for compensation for default (or similar credit event) by a reference entity". Credit Default Swaps (CDS) are by far the most popular credit derivatives and have proven to be the most successful financial innovation. The structure of CDS is somewhat similar to the insurance policy. The market of CDS has heavily expanded and is traded in Over-The-Counter (OTC) market. This essay will briefly address the structure and the market of CDS, outlining its common products usage by some large institutions. Following the review of financial structure and pricing of CDS. And finally, this essay will also evaluate the risk management and investment applications of such products.

CDS Delivery Option

David Boberski
CDS Delivery Option Book PDF

Author : David Boberski
Publisher : John Wiley & Sons
Page : 204 pages
File Size : 54,5 Mb
Release : 2010-05-13
Category : Business & Economics
ISBN : 9780470885260

Get Book

CDS Delivery Option by David Boberski Pdf

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 credit crisis and the near collapse of the GSEs. The book includes detailed information on: how to value a CDS contract how to value the delivery option how contract value changes when the yield curve flattens or becomes steeper how contract value changes with bullish or bearish market moves how to figure out when to buy protection and when to sell protection how to hedge CDS risk when and how to unwind a contract prior to settlement when to hold a trade through delivery how 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 down how to construct a basis trade how to find arbitrage opportunities how to analyze default probability and corporate debt when to settle via auction and when to settle via physical delivery which note is the cheapest to deliver This book is an indispensable resource for all market professionals working in the CDS market.

Trading and Pricing Financial Derivatives

Patrick Boyle,Jesse McDougall
Trading and Pricing Financial Derivatives Book PDF

Author : Patrick Boyle,Jesse McDougall
Publisher : Walter de Gruyter GmbH & Co KG
Page : 298 pages
File Size : 55,9 Mb
Release : 2018-12-17
Category : Business & Economics
ISBN : 9781547401215

Get Book

Trading and Pricing Financial Derivatives by Patrick Boyle,Jesse McDougall Pdf

Trading and Pricing Financial Derivatives is an introduction to the world of futures, options, and swaps. Investors who are interested in deepening their knowledge of derivatives of all kinds will find this book to be an invaluable resource. The book is also useful in a very applied course on derivative trading. The authors delve into the history of options pricing; simple strategies of options trading; binomial tree valuation; Black-Scholes option valuation; option sensitivities; risk management and interest rate swaps in this immensely informative yet easy to comprehend work. Using their vast working experience in the financial markets at international investment banks and hedge funds since the late 1990s and teaching derivatives and investment courses at the Master's level, Patrick Boyle and Jesse McDougall put forth their knowledge and expertise in clearly explained concepts. This book does not presuppose advanced mathematical knowledge, though it is presented for completeness for those that may benefit from it, and is designed for a general audience, suitable for beginners through to those with intermediate knowledge of the subject.

The Role of Credit Default Swaps in Leveraged Finance Analysis

Robert S. Kricheff,Joel Kent
The Role of Credit Default Swaps in Leveraged Finance Analysis Book PDF

Author : Robert S. Kricheff,Joel Kent
Publisher : FT Press
Page : 52 pages
File Size : 43,6 Mb
Release : 2012-10-22
Category : Business & Economics
ISBN : 9780133150773

Get Book

The Role of Credit Default Swaps in Leveraged Finance Analysis by Robert S. Kricheff,Joel Kent Pdf

Normal 0 false false false MicrosoftInternetExplorer4 Credit Default Swaps (CDS) influence how bonds and loans trade and the relative value between bonds and loans. CDS can be the best way to hedge the risk of a corporate debt position and can also be a valuable investment tool in its own right. CDS has a multitude of nuances to it, from how its structured to how it is priced to how it is traded. If you are going to do analysis of corporate debt, especially in the leveraged finance market, you need to understand CDS. This booklet walks you through the basics of how CDS works, gives some perspective on how it has changed since the 2008 crisis and gives practical examples of how CDS is used and analyzed for corporate issuers. It is a valuable summary for anyone looking to do corporate credit analysis.

Credit Default Swaps - Pricing, Valuation and Investment Applications

Panagiotis Papadopoulos
Credit Default Swaps Pricing Valuation and Investment Applications Book PDF

Author : Panagiotis Papadopoulos
Publisher : GRIN Verlag
Page : 31 pages
File Size : 44,8 Mb
Release : 2011-04-12
Category : Business & Economics
ISBN : 9783640891597

Get Book

Credit Default Swaps - Pricing, Valuation and Investment Applications by Panagiotis Papadopoulos Pdf

Seminar paper from the year 2010 in the subject Business economics - Investment and Finance, grade: 67%, University of Westminster (Westminster Business School), course: Financial Derivatives, language: English, abstract: “A credit default swap (CDS) is a bilateral agreement designed explicitly to shift credit risk between two parties. In a CDS, one party (protection buyer) pays a periodic fee to another party (protection seller) in return for compensation for default (or similar credit event) by a reference entity”. Credit Default Swaps (CDS) are by far the most popular credit derivatives and have proven to be the most successful financial innovation. The structure of CDS is somewhat similar to the insurance policy. The market of CDS has heavily expanded and is traded in Over-The-Counter (OTC) market. This essay will briefly address the structure and the market of CDS, outlining its common products usage by some large institutions. Following the review of financial structure and pricing of CDS. And finally, this essay will also evaluate the risk management and investment applications of such products.

Are Credit Default Swaps Spreads High in Emerging Markets

Mr.Manmohan Singh
Are Credit Default Swaps Spreads High in Emerging Markets Book PDF

Author : Mr.Manmohan Singh
Publisher : International Monetary Fund
Page : 9 pages
File Size : 54,6 Mb
Release : 2003-12-01
Category : Business & Economics
ISBN : 9781451875836

Get Book

Are Credit Default Swaps Spreads High in Emerging Markets by Mr.Manmohan Singh Pdf

In times of distress when a country loses access to markets, there is evidence that credit default swap (CDS) spreads are a leading indicator for sovereign risk than the EMBI+ sub-index for the country. However, it is not easy to discern the variables that determine the level of CDS spreads in Emerging Markets (EM); traders only quote the CDS spreads and not the inputs that are required to calculate such spreads. This note provides some evidence from Argentina and Brazil that reveals inconsistency between theory and practice in pricing CDS spreads in EM. This note suggests an alternate methodology that links CTD (cheapest-to-deliver) bonds to recovery values assumed in CDS contracts. Furthermore, special features that pertain to CDS contracts (repo specialness, short squeezes by central banks) may also magnify the financial distress of a sovereign.

Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises

Mr.Jorge A. Chan-Lau
Anticipating Credit Events Using Credit Default Swaps with An Application to Sovereign Debt Crises Book PDF

Author : Mr.Jorge A. Chan-Lau
Publisher : International Monetary Fund
Page : 21 pages
File Size : 55,9 Mb
Release : 2003-05-01
Category : Business & Economics
ISBN : 9781451852912

Get Book

Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises by Mr.Jorge A. Chan-Lau Pdf

In reduced-form pricing models, it is usual to assume a fixed recovery rate to obtain the probability of default from credit default swap prices. An alternative credit risk measure is proposed here: the maximum recovery rate compatible with observed prices. The analysis of the recent debt crisis in Argentina using this methodology shows that the correlation between the maximum recovery rate and implied default probabilities turns negative in advance of the credit event realization. This empirical finding suggests that the maximum recovery rate can be used for constructing early warning indicators of financial distress.

Credit Default Swaps and their Role in the Financial Crisis

Klaus Schütz
Credit Default Swaps and their Role in the Financial Crisis Book PDF

Author : Klaus Schütz
Publisher : GRIN Verlag
Page : 15 pages
File Size : 45,5 Mb
Release : 2012-08-07
Category : Business & Economics
ISBN : 9783656253976

Get Book

Credit Default Swaps and their Role in the Financial Crisis by Klaus Schütz Pdf

Seminar paper from the year 2011 in the subject Economics - Finance, grade: A, Union Graduate College, course: Money, Markets and Banking, language: English, abstract: A credit default swap is essentially an insurance contract to hedge credit risk. It is a type of derivative whose value depends on the likelihood of a company defaulting. In this type of derivative two parties enter a contract where one party agrees to pay another in the event of a company defaulting on bond payments (also known as a credit event) for a premium or spread. CDS played a pivotal role in the recent financial crisis. It is also due to CDS that the crisis in the US housing market grew to a danger for the global capital markets. They were mainly responsible for the fall of insurance giant AIG and other turmoil over the course of the financial crisis. In this paper the nature and history of CDS is examinzed and their role in the financial crisis analyzed.

Credit Default Swap

Gracia S. Ugut
Credit Default Swap Book PDF

Author : Gracia S. Ugut
Publisher : Penerbit NEM
Page : 201 pages
File Size : 52,6 Mb
Release : 2024-04-15
Category : Business & Economics
ISBN : 9786231153289

Get Book

Credit Default Swap by Gracia S. Ugut Pdf

Credit default swaps and credit derivatives in general are one of the many specialized derivatives that are used for the purpose of hedging, speculation and arbitrage. The primary purpose of a credit derivative or the need behind the creation of such a product is to serve as a credit risk transfer mechanism. Credit risk is one of the four broadly classified types of risks (others being operational risk, market risk and liquidity risk) is the possibility of a loss resulting from a borrower’s failure to repay a loan or meet contractual obligations. Credit Default Swaps and Credit Derivatives gained popularity in the pre and during Global Financial Crisis in 2008. It has earned a bad reputation since then as it is perceived as one of the most dangerous financial derivatives. The decline in trading volume of emerging market sovereign CDS in the years since the 2008 global financial crisis, along with the steady rise in volume of emerging-market-bond ETFs, might have contributed to this increase in the relative efficiency of bond-price discovery. Credit-Default Swaps (CDS) were generally a better source of price discovery than spreads computed from bond prices. Credit-Default Swaps (CDS) tended to be a better measure of value compared to spreads computed from bonds, which may have been traded infrequently. However, since the COVID-19 crisis, the cash bond market appears to have made strong inroads as the better source for investors to compare relative value and risk.

The Financial Crisis Inquiry Report

Financial Crisis Inquiry Commission
The Financial Crisis Inquiry Report Book PDF

Author : Financial Crisis Inquiry Commission
Publisher : Cosimo, Inc.
Page : 692 pages
File Size : 42,6 Mb
Release : 2011-05-01
Category : Political Science
ISBN : 9781616405410

Get Book

The Financial Crisis Inquiry Report by Financial Crisis Inquiry Commission Pdf

The Financial Crisis Inquiry Report, published by the U.S. Government and the Financial Crisis Inquiry Commission in early 2011, is the official government report on the United States financial collapse and the review of major financial institutions that bankrupted and failed, or would have without help from the government. The commission and the report were implemented after Congress passed an act in 2009 to review and prevent fraudulent activity. The report details, among other things, the periods before, during, and after the crisis, what led up to it, and analyses of subprime mortgage lending, credit expansion and banking policies, the collapse of companies like Fannie Mae and Freddie Mac, and the federal bailouts of Lehman and AIG. It also discusses the aftermath of the fallout and our current state. This report should be of interest to anyone concerned about the financial situation in the U.S. and around the world.THE FINANCIAL CRISIS INQUIRY COMMISSION is an independent, bi-partisan, government-appointed panel of 10 people that was created to "examine the causes, domestic and global, of the current financial and economic crisis in the United States." It was established as part of the Fraud Enforcement and Recovery Act of 2009. The commission consisted of private citizens with expertise in economics and finance, banking, housing, market regulation, and consumer protection. They examined and reported on "the collapse of major financial institutions that failed or would have failed if not for exceptional assistance from the government."News Dissector DANNY SCHECHTER is a journalist, blogger and filmmaker. He has been reporting on economic crises since the 1980's when he was with ABC News. His film In Debt We Trust warned of the economic meltdown in 2006. He has since written three books on the subject including Plunder: Investigating Our Economic Calamity (Cosimo Books, 2008), and The Crime Of Our Time: Why Wall Street Is Not Too Big to Jail (Disinfo Books, 2011), a companion to his latest film Plunder The Crime Of Our Time. He can be reached online at www.newsdissector.com.

Credit Derivatives

Mark J. P. Anson,Frank J. Fabozzi,Moorad Choudhry,Ren-Raw Chen
Credit Derivatives Book PDF

Author : Mark J. P. Anson,Frank J. Fabozzi,Moorad Choudhry,Ren-Raw Chen
Publisher : John Wiley & Sons
Page : 353 pages
File Size : 46,6 Mb
Release : 2004-02-01
Category : Business & Economics
ISBN : 9780471652380

Get Book

Credit Derivatives by Mark J. P. Anson,Frank J. Fabozzi,Moorad Choudhry,Ren-Raw Chen Pdf

An essential guide to credit derivatives Credit derivatives has become one of the fastest-growing areas of interest in global derivatives and risk management. Credit Derivatives takes the reader through an in-depth explanation of an investment tool that has been increasingly used to manage credit risk in banking and capital markets. Anson discusses everything from the basics of why credit risk is important to accounting and tax implications of credit derivatives. Key topics covered in this essential guidebook include: credit swaps; credit forwards; credit linked notes; and credit derivative pricing models. Anson also discusses the implications of credit risk management as well as credit derivative regulation. Using charts, examples, basic investment theory, and elementary mathematics, Credit Derivatives illustrates the real-world practice and applications of credit derivatives products. Mark J. P. Anson (Sacramento, CA) is the Chief Investment Officer at Calpers. Frank J. Fabozzi (New Hope, PA) is a Fellow of the International Center for Finance at Yale University. Moorad Choudhry (Surrey, UK) is a Vice President in Structured Finance Services with JP Morgan Chase Bank in London. Ren-Raw Chen is an Assistant and Associate Professor at the Rutgers University Faculty of Management.