Thursday, July 1, 2010

>Credit derivatives: under the bonnet (CREDIT DEFAULT SWAP)

A primer on CDS, indices and tranches

■ CDS contracts, volumes and conventions

■ Building credit curves and pricing CDS

■ MTM and quotation conventions

■ Exotic variants including recovery swaps, quantos, CLNs and FTDs

■ Index tranche volumes and rationale

■ Index tranche conventions

■ Pricing, base correlation and risk analysis

To read the full report: CREDIT DEFAULT SWAP