- Legal & Docs
- ISDA 2003 definitions
- ISDA credit derivatives confirmation
- Credit events, restructuring
- Pricing impact of confirmation choices
- Deliverability
- Notices, calculations and conventions
- Pricing CDS
- Model-based pricing
- Arbitrage ‘rules-based’ pricing
- Credit spread sensitivities
- Uncertainties in pricing
- Market Conventions & Mechanics
- Quotations and benchmarks
- Typical confirmation choices
- Settlement, effective and maturity dates,
payments
- Market liquidity and where to find it
- Adjustments for counterparty risk
- Credit and CDS Indices, iTraxx, DJ CDS
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- Trading Strategies & Basis
- Credit spread trading and mark-to-market
dynamics
- Credit spread ‘Delta’ of CDS
- ‘Basis’ versus cash credit products
- ‘Cash’ versus CDS arbitrages
- Basket credit transactions
- Credit-linked notes
- Synthetic CDOs and Tranches
- ‘Cash’ versus synthetic
- Arbitrage and hedge transactions
- Confidentiality and substitution
- CDO ‘squared’
- Tranches, risks, ratings and exposures
- Liquidity and transparency issues
- Correlation and Mechanics of Correlation Trading
Books
- Implied reference portfolio correlations
from tranche pricing
- The correlation ‘smile’
- Trading correlation through index tranches
- Trading correlation with conventional
basket CDS
- Correlation as an ‘asset class’
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