The Credit Default Swap Basis

by Moorad Choudhry

Overview

"A timely and well-researched book on a key aspect of the credit derivatives market. Investors will gain much valuable insight from Moorad Choudhry's landmark text on the credit default swap basis, its drivers, and its behavior."
—Suleman Baig
Structure, Deutsche Bank Global Markets

The growth of the credit derviatives market has produced a liquid market in credit default swaps across the credit curve, and this liquidity has led many investors to access both the credit derivative and cash bond markets to meet their investment requirements.

This book investigates the close relationship between the synthetic and cash markets in credit, which manifests itself in the credit default swap basis. Choudhry covers

• Factors that Drive the Basis
• Iimplications for Market Participants
• The CDS Index Basis
• Trading the Basis

Credit market investors and traders as well as anyone with an interest in the global debt markets will find The Credit Default Swap Basis insightful and rewarding.

Product Details

ISBN-13:	9781576602362
Publisher:	Wiley
Publication date:	10/01/2006
Series:	Bloomberg Financial , #45
Pages:	226
Sales rank:	729,865
Product dimensions:	5.80(w) x 8.60(h) x 0.90(d)

About the Author

Moorad Choudhry (London, UK) was head of treasury at Europe Arab Bank plc in London. Previously, he was head of treasury at KBC Financial Products, and a vice president in Structured Finance Service at JPMorgan Chase Bank. Prior to that, he was a sterling proprietary trader at Hambros Bank Limited and gilt-edged market maker and money markets trader at ABN Amro Hoare Govett Ltd. Choudhry is visiting professor at the Department of Economics, London Metropolitan University and a visiting research fellow at the ICMA Centre, University of Reading. He was educated at the University of Westminster and the University of Reading. He obtained his MBA from Henley Management School and his PhD from Birkbeck, University of London. He has written several books on the credit markets.

Table of Contents

Foreword.

Preface.

About the Author.

1 A Primer on Credit Default Swaps.

2 Bond Spreads and Relative Value.

3 The CDS Basis I: The Relationship Between Cash and Synthetic Credit Markets.

4 Supply and Demand and the Credit Default Swap Basis.

5  The CDS Basis II: Further Analysis of the Cash and Synthetic Credit Market Differential.

6 Trading the CDS Basis: Illustrating Positive and Negative Basis Arbitrage Trades.

Appendix I Description of Bloomberg Screen CDSW.

Appendix II The Market Approach to CDS Pricing.

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

Glossary.

Index.

CFA Institute Professional Development Qualified Activity (7 hours).

What People are Saying About This

From the Publisher

"A timely and well-researched book on a key aspect of the credit derivatives market. Investors will gain much valuable insight from Moorad Choudhry's landmark text on the credit default swap basis, its drivers, and its behavior."
—Suleman Baig
Deutsche Bank Global Markets

"As credit default swaps become ever more important as a bank risk-management tool, so market participants will need to understand the credit market cash-synthetic basis. This is an excellent treatment of the subject that provides valuable detail for investors and traders alike."
—Mohamoud Barre Dualeh
Abu Dhabi Commercial Bank

"An excellent account and one sure to be of inestimable value to market practitioners."
—Mark Burgess
Synthetic ABCP Operations, KBC Financial Products