Credit Default Swap Index Trading: Bid/Offer, Rolls, Roll Conventions

Introduction I apologize in advance for the rather esoteric subject here, but I have in the past done some work with our CDS index trading desk.  The roll dates for the US indexes are once again approaching.  Immediately after the roll date we trade both the old index, the new index, and the roll between … Continue reading Credit Default Swap Index Trading: Bid/Offer, Rolls, Roll Conventions

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A Beginner’s Guide To Credit Default Swaps (Part 4)

Introduction This post continues the discussion of changes in the credit default swap (CDS) since 2007.  Part 2 and part 3 of this series of articles discussed changes in the mechanics of CDS trading.  This part will discuss changes around how credit events are handled, and future changes in the market. Changes in the CDS Market … Continue reading A Beginner’s Guide To Credit Default Swaps (Part 4)

A Beginner’s Guide to Credit Default Swaps (Part 3)

Introduction Part 1 of this series of articles described the basic mechanics of a credit default swap. Part 2 started to describe some of the changes in the market since part 1 was written.  This part will continue that description by describing the upfront fee that is now paid on a standard CDS contract, and … Continue reading A Beginner’s Guide to Credit Default Swaps (Part 3)

A Beginner’s Guide to Credit Default Swaps (Part 2)

Introduction Part 1 of the 'Beginner's Guide to Credit Default Swaps' was written in 2007. Since that time we have seen what many are calling the greatest financial crisis since the Great Depression, and a global recession. Rightly or wrongly, some of the blame for the crisis has been attributed to credit derivatives and speculation … Continue reading A Beginner’s Guide to Credit Default Swaps (Part 2)

A Beginner’s Guide to Credit Default Swaps (Part 1)

Introduction On our team at work we occasionally employ developers who know nothing about derivatives. It usually falls to me to give these guys a general introduction to the credit derivatives business. As part of that we usually have a session on what a credit default swap is and why it’s important. This article is … Continue reading A Beginner’s Guide to Credit Default Swaps (Part 1)