The Credit Default Swap Basis by Moorad Choudhry

The Credit Default Swap Basis by Moorad Choudhry

An up-to-date resource on the intricacies of the credit defaultswap basis

While credit default swaps and credit derivatives are of greatconcern to many in the field of finance, the Second Editionof The Credit Default Swap Basis does not directly focus onthese issues. It is instead about an aspect of CDS behavior, thebasis, which is of importance to all users of CDS products. Anunderstanding of the basis is essential to anyone involved in thecredit-risky debt capital markets, whether you're an investor, trader, or broker.

The credit default swap basis (the basis) defines therelationship between the cash and synthetic credit markets. Financeprofessionals need to understand the drivers of the basis in orderto better undertake investment and value analysis, and for tradingpurposes. In this updated Second Edition, author MooradChoudhry, a market practitioner who has published widely in thefield of credit derivatives, explores this dynamic discipline andexamines the structural changes in the CDS market, including newsettlement mechanisms and contract standardization. Along the way, he describes how basis pricing has changed in the aftermath of thefinancial crisis and what that change means in regard to overallmarket and trading opportunities.

• The only book on basis issues of credit default swaps, itprovides practitioners with vital information on valuation, creditrisk assessment, and basis trading strategies
• Addresses structural changes to the market, including theintroduction of central clearing houses in the U.S. and Europe andstandardization of contracts to reduce disputes about payoutsettlements
• Covers the close relationship between the synthetic and cashmarkets in credit, which manifests itself in the credit defaultswap basis

The Credit Default Swap Basis, Second Edition offersinvaluable market insights to all financial professionals seeking adeeper understanding of credit derivatives and fixed incomesecurities.

Frank J. Fabozzi, PhD, CFA, is Editor of the Journal of Portfolio Management, the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management, and a consultant in the fixed-income and derivatives area. Frank is a Chartered Financial Analyst and Certified Public Accountant who has edited and authored many acclaimed books in finance. He earned a doctorate in economics from the City University of New York in 1972. He is a Fellow of the International Center for Finance at Yale University.
Moorad Choudhry is Head of Treasury at KBC Financial Products UK Limited in London. He previously worked as a government bond trader at ABN Amro Hoare Govett Limited and Hambros Bank Limited, and in structured finance services at JPMorgan Chase Bank. Moorad is a Fellow at the Centre for Mathematical Trading and Finance, Cass Business School, London, and a Fellow of the Securities Institute. He has published widely in the field of fixed income and derivatives, and is author of The Bond and Money Markets: Strategy, Trading, Analysis.

SKU	Unavailable
ISBN 13	9781576602362
ISBN 10	1576602362
Title	The Credit Default Swap Basis
Author	Moorad Choudhry
Series	Bloomberg Financial
Condition	Unavailable
Binding Type	Hardback
Publisher	Bloomberg Press
Year published	2006-10-01
Number of pages	226
Cover note	Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
Note	Unavailable