The Credit Default Swap Basis: 45 (Bloomberg Financial) - Hardcover

Über die Autorin bzw. den Autor

moorad choudhry heads the treasury department of the derivatives unit at kbc bank nv, a major european financial services company. formerly a vice president in j. p. morgan chase's structured finance services group, he has authored numerous journal articles and books, including the global money markets written with professor frank fabozzi. choudhry is editor of the journal of bond trading and management.

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"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 derivatives 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
• Implications 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.

Aus dem Klappentext

THE CREDIT LINE DEFAULT SWAP BASIS

"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, Service Officer, Abu Dhabi Commercial Bank

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 relative value analysis.

In this book Moorad Choudhry, a market practitioner who has published widely in the field of credit derivatives, explores the three most important aspects of the basis: why synthetic and cash prices differ, how to measure the basis, and how to trade the basis.

The Credit Default Swap Basis offers invaluable market insight to all professionals seeking a deeper understanding of credit derivatives and fixed income securities.

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