Merrill Lynch Credit Derivatives Handbook 2006
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Merrill Lynch, “Credit Derivatives Handbook, Vol. 1: A Guide to Single-Name and Index CDS Products”
Merrill Lynch | 2006 | ISBN: N/A | 118 pages | PDF | 3,2 MB
Merrill Lynch report from 2006
Table of Content:
Credit Derivatives –
A Market Overview
1.Market evolution, importance, participants and challenges 3
CDS Basics & Valuation
2. Basic concepts, arbitrage relationship, survival probabilities 11
3. Mechanics for terminating contracts 21
Upfront Pricing of CDS
4. Compare upfront vs. running CDS spread 29
Valuing the CDS Basis
5. Comparing CDS with the cash market 37
What Drives the Basis?
6. Why do cash and default market spreads diverge? 47
CDS Structural Roadmap
7. Key structural considerations 54
8. The ABCs of CDX and iTraxx indices 73
CDS Investment Strategies
9. Using CDS to enhance returns 88
10. Credit risks associated with CDS trades, Novation Protocol 112
Merrill Lynch, “Credit Derivatives Handbook, Vol. 2: A Guide to the Exotics Credit Derivatives Market”
Merrill Lynch | 2006 | ISBN: N/A | 118 pages | PDF | 6,3 MB
Follows up volume 1 with tranching of CDOs, CDOs of CDOs, etc.
Table of content:
Exotics Credit Derivatives –
Tried and Tested
1.Overview of the exotics credit derivatives market 3
Single Tranche Synthetic CDO
2. A guide to bespoke single-tranches 8
3. A guide to usage and valuation 23
4. A guide to the index tranche market 33
5. Managing risks in tranche trading 45
Tranche Relative Value Tools
6. Identifying relative value in tranche markets 63
7. Interesting trade ideas in the tranche market 80
Modeling Correlation Products
8. Pricing models for CDOs & FTDs 101
9. Moving from compound to base correlation and beyond 126
10. CDO of CDOs 138
Leveraged Super Senior
11. A guide to synthetic LSS 148
CDO Combination Notes
12. Combining tranches to tailor investor needs 156
CPPI for Debt Investors
13. Principal protection techniques 169
14. Payers and Receivers, trading spread volatility 176
15. Bulish on Credit, Bearish on Spreads 186
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