FOREWORD
During the past few years, the credit derivatives market has grown significantly and is now an established derivative market. This market has given some investors a choice on how they should take exposure to the credit risk of a company—either via a credit derivative contract or by buying/selling the bonds of that company. The CDS contract (credit default swap contract) is the building block to many exotic credit derivative structured products and indexes. The CDS is a contract that is designed to pay out if there is a credit event affecting the reference credit.
The subject of examining the cash-CDS basis and answering questions such as why it exists, how to measure and monitor the basis, and how to react to changes in the measure and ...
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