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Chapter 23: Credit Default Swaps (CDS)

In this section

  • Single-Name vs. Index CDS Contracts
    In-depth overview of the differences between Single-Name and Index Credit Default Swaps, focusing on structure, liquidity, correlation, roll dates, and hedging strategies in the context of fixed income portfolio management.
  • CDS Mechanics and Settlement Protocols
    Discover how Credit Default Swaps (CDS) function, including the payment structure, credit events, and settlement options. Learn about the ISDA-driven auction process, physical vs. cash settlement, and key considerations like restructuring clauses and cheapest-to-deliver strategies.
  • Pricing and Factors Affecting CDS Spreads
    Explore how credit default swaps (CDS) are priced and the key factors—such as default probability, market conditions, and recovery rates—that drive CDS spreads.
  • Vignette: Navigating CDS in a Portfolio Context
    Discover how to apply credit default swaps (CDS) for hedging or speculative positioning within a bond portfolio, exploring triggers for credit events, settlement methods, and single-name vs. index CDS strategies.
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Chapter 22: Term Structure of Credit Spreads
Chapter 24: Using Derivatives in Fixed Income