The Credit Default Swap Basis
The growth of the credit derivatives market has meant that credit default swaps have been playing a big part in the credit market situation. An understanding of how these instruments work and what they can, and cannot, offer is vital to know how to best use them. The Credit Default Swap Basis investigates the close relationship between the synthetic and cash markets in credit, which manifests in the credit default swap basis. Credit market investors and traders as well as anyone with an interest in the global debt markets will find this book insightful and rewarding.
Praise for The Credit Default Swap Basis
"A timely and well-researched book on a key aspect of the credit derivatives market. Investors will gain much valuable insight from Moorad Choudhry's landmark text on the credit default swap basis, its drivers, and its behavior."
― Suleman Baig, Deutsche Bank Global Markets
"As credit default swaps become ever more important as a bank risk-management tool, so market participants will need to understand the credit market cash-synthetic basis. This is an excellent treatment of the subject that provides valuable detail for investors and traders alike."
― Mohamoud Barre Dualeh, Abu Dhabi Commercial Bank
"An excellent account and one sure to be of inestimable value to market practitioners."
― Mark Burgess, Synthetic ABCP Operations, KBC Financial Products