CDS Delivery Option

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.