January 2009
Intermediate to advanced
224 pages
4h 48m
English
Content preview from CDS Delivery Option: Better Pricing of Credit Default Swaps2
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2 
The Crisis After Subprime
This is a book on pricing an embedded interest rate option in credit derivatives, and there are important parallels to the subprime debacle. The most important of these is that many traders in each market don't appreciate the fundamental assumptions behind each market. Although this is somewhat of a simplification, subprime mortgages relied on a certain rate of home price appreciation. Similarly, the value of a credit derivative depends on the price of a corporate bond. Credit salesmen and traders seem content to stop here, but a veteran of catastrophe might ask, “Which price, and for what bond?” Valuing the delivery ...
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