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 Merrill Lynch Credit Derivatives Handbook 2006 (Vol. I & II)
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 Merrill Lynch Credit Derivatives Handbook 2006 (Vol. I & II)
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 Merrill Lynch Credit Derivatives Handbook 2006 (Vol. I & II)
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 Merrill Lynch Credit Derivatives Handbook 2006 (Vol. I & II)
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 Merrill Lynch Credit Derivatives Handbook 2006 (Vol. I & II)
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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