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Dedication
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Dedication
by David Boberski
CDS Delivery Option: Better Pricing of Credit Default Swaps
Title Page
Copyright Page
Dedication
Table of Figures
Introduction
The Credit Crunch of 2007
Rapid Growth in the Credit Derivatives Market Explained
The Delivery Option
Physical Delivery Links Markets
Bridging the New York/Chicago Divide
PART I - Markets and Mechanisms
Chapter 1 - Interest Rate Policy, Housing Prices, and the Credit Crunch
An Unspoken Assumption
The Music Stops in Home Prices
The Music Stops in Lending
The Music Stops on Wall Street
Fed in a Box
Chapter 2 - The Crisis After Subprime
Agencies Born of Crisis
Contradictory Objectives?
The Golden Goose
Losing Focus
Chapter 3 - The Link Between Credit Derivatives and Bonds
Caulis Negris
The Music Stops for the Agencies
The End Game for the Government-Sponsored Enterprises
PART II - The Delivery Option
Chapter 4 - Delivery Option: The Link Between Futures and Credit Derivatives
Assumptions Behind the Credit Default Swap Basis
Default Probability, Corporate Debt, and the Delivery Option
A Review of Treasury Futures Mechanics
Pricing Treasury Futures Delivery Options
The Fair-Value Method for Pricing an Embedded Option
Chapter 5 - The Squeeze
Making Mischief
Distorted Economics
Chapter 6 - The Cheapest-to-Deliver Option in Credit Default Swaps
Quantifying the Value of the Delivery Option
A Proof by Contradiction
Applying the Fair-Value Analysis
More Lessons from the Futures Market
Chapter 7 - Delphi: A Real-World Example
Recent Developments: Destroying Value
PART III
Chapter 8 - Designing an Agency Credit Derivatives Futures Contract
Chapter 9 - Bringing the Index to an Exchange
PART IV - A Bear Market Case Study
Chapter 10 - The ABX Meltdown
INDEX
ABOUT THE AUTHOR
ABOUT BLOOMBERG
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