O'Reilly logo

The Credit Default Swap Basis by Moorad Choudhry

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

CHAPTFR 2

Bond Spreads and Relative Value

The credit default swap (CDS) basis is an important measure of relative value in the credit markets. Before considering the basis itself, we must familiarize ourselves with some basic concepts of bond spreads. An understanding of these is important when we consider the CDS basis later. In this chapter, we also introduce the theoretical concept of the cash market-synthetic market basis, when we consider (and then discard) the asset-swap pricing methodology for CDS contracts.

Bond Spreads

Investors measure the perceived market value, or relative value, of a corporate bond by measuring its yield spread relative to a designated benchmark. This is the spread over the benchmark that gives the yield of the corporate ...

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required