美林credit derivative handbook

Market growth, importance and prospects
Market Evolution: Going 1. 3
Mainstream?
The basic concepts
Credit Default Swap Basics2. 10
Arbitrage relationship and an introduction to survival probabilities
Valuation of Credit Default 3. 13
Swaps
Mechanics for terminating contracts
Unwinding Default Swaps4. 19
Comparing CDS with the cash market
Valuing the CDS Basis5. 29
Why do cash and default market yields diverge?
What Drives the Basis?6. 35
Using CDS to enhance returns
CDS Investor Strategies7. 44
Key structural considerations
CDS Structural Roadmap8. 60
How to value the Restructuring Credit Event
What Price Restructuring?9. 73
A guide to usage and valuation
First-to-Default Baskets10. 84
Mechanics and investment rationale
Synthetic CDO Valuation11. 95
Credit risks associated with CDS trades
Counterparty Risk12. 109
How the BIS views CDS
Bank Capital Treatment13. 114