Dr. Moorad Choudhry is head of Treasury at KBC Financial Products in London. He is a visiting professor at the Department of Economics, London Metropolitan University, a visiting research fellow at the ICMA Centre, University of Reading; a senior fellow at the Centre for Mathematical Trading and Finance, Cass Business School; and a fellow of the Securities and Investment Institute. Choudhry is the author of numerous books, including Fixed-Income Securities and Derivatives Handbook.
About the Author.
1 A Primer on Credit Default Swaps.
2 Bond Spreads and Relative Value.
3 The CDS Basis I: The Relationship Between Cash and Synthetic Credit Markets.
4 Supply and Demand and the Credit Default Swap Basis.
5 The CDS Basis II: Further Analysis of the Cash and Synthetic Credit Market Differential.
6 Trading the CDS Basis: Illustrating Positive and Negative Basis Arbitrage Trades.
Appendix I Description of Bloomberg Screen CDSW.
Appendix II The Market Approach to CDS Pricing.
Appendix III Market-Implied Timing of Default from CDS Prices.
CFA Institute Professional Development Qualified Activity (7 hours).