Merrill Lynch – Credit Derivatives Handbook 2006 (Vol. I & II)
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:
Section Page Credit Derivatives – A Market Overview 1.Market evolution, importance, participants and challenges 3 CDS Basics & Valuation 2. Basic concepts, arbitrage relationship, survival probabilities 11 Unwinding CDS 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 CDS Indices 8. The ABCs of CDX and iTraxx indices 73 CDS Investment Strategies 9. Using CDS to enhance returns 88 Counterparty Risk 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 First-to-Default Baskets 3. A guide to usage and valuation 23 Standardized Tranches 4. A guide to the index tranche market 33 Trading Correlation 5. Managing risks in tranche trading 45 Tranche Relative Value Tools 6. Identifying relative value in tranche markets 63 Correlation Strategies 7. Interesting trade ideas in the tranche market 80 Modeling Correlation Products 8. Pricing models for CDOs & FTDs 101 What Correlation? 9. Moving from compound to base correlation and beyond 126 Synthetic CDO^2 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 CDS Options 14. Payers and Receivers, trading spread volatility 176 CMCDS 15. Bulish on Credit, Bearish on Spreads 186
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