Credit Default Swap Trading Strategies
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Credit Default Swap Trading Strategies
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Author : Wolfgang Schöpf
language : en
Publisher: diplom.de
Release Date : 2010-07-23
Credit Default Swap Trading Strategies written by Wolfgang Schöpf and has been published by diplom.de this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-07-23 with Business & Economics categories.
Inhaltsangabe:Introduction: Credit default swaps are by far the most often traded credit derivatives and the credit default swap markets have seen tremendous growth over the past two decades. Put simply, a credit default swap is a tradeable contract that provides insurance against the default of a certain debtor. Initially, when the first form of a credit default swap (CDS) was traded in 1991, they were mainly used by commercial banks in order to lay off credit risk to insurance companies. However, focus shifted in the subsequent years as new players entered the market. Hedge funds became big players, money managers and reinsurers entered, and banks started to not only buy protection on their assets but also sell protection in order to diversify their portfolios. All this led to today s CDS market being dominated by investors rather than banks and, as a consequence, CDSs are now structured to meet investors needs instead of those of the banks. Over the same time as this shift to an investor orientated market took place, CDS markets grew at an astonishing rate with notional amount outstanding pretty much doubling every year until peaking in the second half of 2007 at USD 62,173.20 billions. The need to effciently transfer credit risk as well as the increasing standardization of CDS contracts by the International Swaps and Derivatives Association propelled this development. Only in 2008 did the notional amount outstanding in CDSs retract for the first time and come down to USD 31,223.10 billion in the first half of 2009. A partial reason was the full blown financial crisis in which CDSs also played a prominent role. The demise of Lehman Brothers, for example, triggered roughly USD 400 billion in protection payments and American International Group needed to be bailed out in 2008 because it had sold too much CDS protection. Amongst other concerns, these incidents highlight the systemic importance of CDSs. Combined with the phenomenal growth of CDS markets, this makes CDSs a highly relevant component of the current ?nancial environment and a fruitful subject for academic research. Today, just like most other financial instruments, CDSs serve a multitude of purposes spanning hedging, speculation, and arbitrage. The aim of this thesis is to explore these uses further and answer the following research questions: What CDS trading strategies are commonly used and how does a selection of these strategies CDS curve trades including forward CDSs, [...]
The Credit Default Swap Basis
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Author : Moorad Choudhry
language : en
Publisher: Bloomberg Press
Release Date : 2027-06-22
The Credit Default Swap Basis written by Moorad Choudhry and has been published by Bloomberg Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2027-06-22 with Business & Economics categories.
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.
Implementing Credit Derivatives
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Author : Israel Nelken
language : en
Publisher: McGraw Hill Professional
Release Date : 1999
Implementing Credit Derivatives written by Israel Nelken and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Business & Economics categories.
This text goes beyond the fundamentals of credit derivatives, to explore the practical realities of derivatives in a credit risk management strategy. Key regulatory and legal issues are covered, along with case studies to demonstrate application of the strategies discussed.
Credit Default Swaps
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Author : Victor Pérez
language : en
Publisher:
Release Date : 2011
Credit Default Swaps written by Victor Pérez and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
Credit Derivative Strategies
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Author : Rohan Douglas
language : en
Publisher: John Wiley and Sons
Release Date : 2010-05-13
Credit Derivative Strategies written by Rohan Douglas and has been published by John Wiley and Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-05-13 with Business & Economics categories.
In the decade since the credit derivatives market started, financial professionals have become increasingly sophisticated. Most books on the subject have not kept pace. Credit Derivative Strategies closes the gap with state-of-the-art techniques for picking credit hedge funds, analyzing event risk, identifying relative value opportunities and managing CDOs. The credit crisis has many people in the financial industry rethinking how to manage their credit risk and exposure. It is now more important than ever for participants in the financial markets -- whether they are trading or not -- to understand these credit products given their increasing impact. The contributors to this book are practicing professionals who honed their craft at some of the industry's most successful companies including: Merrill Lynch, Credit Suisse First Boston, Kenmar Global Investment Management, and Citigroup.
Trading The Fixed Income Inflation And Credit Markets
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Author : Neil C. Schofield
language : en
Publisher: John Wiley & Sons
Release Date : 2011-10-17
Trading The Fixed Income Inflation And Credit Markets written by Neil C. Schofield and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-10-17 with Business & Economics categories.
Trading the Fixed Income, Inflation and Credit Markets is a comprehensive guide to the most popular strategies that are used in the wholesale financial markets, answering the question: what is the optimal way to express a view on expected market movements? This relatively unique approach to relative value highlights the pricing links between the different products and how these relationships can be used as the basis for a number of trading strategies. The book begins by looking at the main derivative products and their pricing interrelationships. It shows that within any asset class there are mathematical relationships that tie together four key building blocks: cash products, forwards/futures, swaps and options. The nature of these interrelationships means that there may be a variety of different ways in which a particular strategy can be expressed. It then moves on to relative value within a fixed income context and looks at strategies that build on the pricing relationships between products as well as those that focus on how to identify the optimal way to express a view on the movement of the yield curve. It concludes by taking the main themes of relative value and showing how they can be applied within other asset classes. Although the main focus is fixed income the book does cover multiple asset classes including credit and inflation. Written from a practitioner's perspective, the book illustrates how the products are used by including many worked examples and a number of screenshots to ensure that the content is as practical and applied as possible.
Credit Default Swaps
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Author : Christopher L. Culp
language : en
Publisher: Springer
Release Date : 2018-07-12
Credit Default Swaps written by Christopher L. Culp and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-07-12 with Business & Economics categories.
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.
The Structured Credit Handbook
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Author : Arvind Rajan
language : en
Publisher: John Wiley & Sons
Release Date : 2007-02-09
The Structured Credit Handbook written by Arvind Rajan and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-02-09 with Business & Economics categories.
The Structured Credit Handbook is a comprehensive introduction to all types of credit-linked financial instruments. This book provides state-of-the-art primers on single tranche collateralized debt obligations (CDOs), collateralized loan obligations (CLOs), credit derivatives (such as credit default swaps and swaptions), and iBoxx indexes. Filled with in-depth insight and expert advice, The Structured Credit Handbook covers all aspects of the synthetic arbitrage CDO market, including new instruments such as CDO2. Readers will also gain a firm understanding of the investment rationale, risks, and rewards associated with CDO investments through this valuable resource. The exploding use of credit derivatives and collateralized debt obligations (CDOs) has transformed the world of credit, creating an $18 trillion market almost overnight and resulting in innumerable investment and career opportunities globally. The Structured Credit Handbook provides the reader with a comprehensive and clear roadmap to today's new credit landscape. The full spectrum of structured credit products, from single-name CDS to CDOs, is explained in a simple, clear fashion that is free from the financial jargon and mathematical complexity which characterize many other derivative texts. The handbook begins with an in-depth explanation of the building blocks of the structured credit markets, single-name default swaps and indexes, and it culminates with complex products such as credit options, synthetic tranches, CDOs based on bank loans and asset-backed securities, and CDO-squareds. Written by experienced practitioners who have participated in this market since its infancy, each of the thirteen chapters introduces and analyzes a new product and explains its practical applications. A rich set of real-life case studies illustrate the application of each product in a concrete market setting. The book may be used in a semester-long course on structured credit as part of a business or finance curriculum. Whether you are a market professional, a university student or faculty member, or simply a financially savvy layperson, look no further for an up-to-date and thorough introduction to this rapidly growing and exciting field. Dr. Arvind Rajan, Managing Director, Citigroup Global Markets, is engaged in proprietary trading of Structured Credit products, and until recently, was global head of Structured Credit Research and Strategy at Citigroup. Glen McDermott (New York, NY) is Director of Fixed Income Sales and the former head of CDO Research at Citigroup Global Markets Inc. Ratul Roy is head of CDO Strategy for Citigroup Global Markets and has spent the prior nine years in structuring or analyzing CDOs and other structured credit products.
Empirical Study Of Liquidity Effects In The Relation Between Corporate Credit Spread And Credit Default Swaps
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Author : Christian Villouta
language : en
Publisher:
Release Date : 2006
Empirical Study Of Liquidity Effects In The Relation Between Corporate Credit Spread And Credit Default Swaps written by Christian Villouta and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
The motivation of this study was to construct an empirical test to observe whether liquidity in Fixed Income and Credit Derivative markets have an effect on the theoretical relationship that link these markets. The test was performed taking daily quotes for 4,943 bonds and Credit Default Swap (CDS) Premiums for 3, 5, 7 and 10 years for 614 companies from UK and US markets. The total data collected amounted to more than 5 million singles quotes, which is considerably higher than previous empirical studies on the Credit Derivatives market. Liquidity effects were tested empirically through the construction of equally weighted portfolios based in measures that capture liquidity of securities. Each portfolio was rebalanced in a daily basis using information from 01/01/2003 to 31/03/2006. The main conclusions of this empirical study are: - Liquidity has empirical effects to the behaviour of the CDS Basis in a range of +22 to +80 basis points, and substantial increases in volatility were observed for all maturities. - Liquidity effect is different across maturities, eliminating the possibility to hedge positions using trading strategies in different maturities. - Bid-Ask spread is not enough to explain the deviations in the CDS Basis in low liquidity environments. When maturity increases, the explanation power of the bid-ask spread and transaction cost is not enough for the empirical deviation in the CDS Basis. - Credit Arbitrage trading strategies perform badly in low liquidity environments, even after adjusting for liquidity.
Swap And Other Structured Products Critical Review Of Recent Development As Tool In Financial Risk Management Applications
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Author : Frédérik Arns
language : en
Publisher: GRIN Verlag
Release Date : 2006-07-11
Swap And Other Structured Products Critical Review Of Recent Development As Tool In Financial Risk Management Applications written by Frédérik Arns and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-07-11 with Business & Economics categories.
Seminar paper from the year 2006 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: A+, University of Westminster, course: Financial Derivatives, language: English, abstract: The increased volatility in the financial products world has raised concern about new possibilities of Risk Management leading into increased use of structured products. Credit derivatives are financial instruments to manage risk. They isolate such risk from the underlying financial asset. This essay, firstly, is going to examine the impact on swap products as a tool in Risk Management followed by an examination of key areas in structured products development that have experienced the strongest growth in the last decade. For both types, the current theory and pricing will be outlined followed by a demonstration of some characteristic applications in Financial Risk Management.