Option. in. Credit. Default. Swaps. Default. triggers physical delivery of a note in a
single-name credit default swap. The foundation of the delivery option is that the
buyers of protection have the right to decide which note to deliver, and ...
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.
Type: BOOK - Published: 2010-05-13 - Publisher: John Wiley & Sons
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
Type: BOOK - Published: 2004-06-03 - Publisher: John Wiley & Sons
Strategies, tools, and proven solutions for minimizing risk and volatility in option trading The Option Trader Handbook helps readers better understand trade management by providing a thorough compilation of the numerous trade adjustments, hedges, and enhancements that can be made to stock or option positions using derivatives. Dr. George Jabbour
Type: BOOK - Published: 2004-04-15 - Publisher: Cambridge University Press
This book is intended for use in a rigorous introductory PhD level course in econometrics, or in a field course in econometric theory. It covers the measure-theoretical foundation of probability theory, the multivariate normal distribution with its application to classical linear regression analysis, various laws of large numbers, central limit
Type: BOOK - Published: 2005 - Publisher: LIT Verlag Münster
The concept of a preferential option for the poor calls for a special attention to the weakest members of a particular society. Such an option is a challenge for the ethics of science as well. How can we pursue an "option for the poor" in the humanities? Can we do