January 2009
Intermediate to advanced
224 pages
4h 48m
English
Content preview from CDS Delivery Option: Better Pricing of Credit Default Swaps
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LIST OF ILLUSTRATIONS
Figure I.1 Growth of the Corporate and Credit Derivatives Market
Figure 1.1 Slope of the 2-Year and 10-Year Treasury Curve by Business Cycle
Figure 1.2 S&P Case-Schiller Home Price Index
Figure 3.1 Chinese Holdings of U.S. Treasury and Agency Notes
Figure 3.2 2-Year Treasury Note Yields Versus the ABX Index
Figure 4.1 CDX vs. Interest Rate Swap Spread
Figure 4.2 Empirical Performance of Treasury Bond Contracts Compared to Cheapest-to-Deliver Issue
Figure 4.3 Long Bond Contract Performance Relative to Cheapest-to-Deliver Issue
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