Credit Derivatives Insights
以下是扉页简介：
The Credit Derivatives Insights Series
The Handbook of Single Name and Index Strategies, now in its fourth
printing, contains select previously published research reports on credit
investment strategies, credit derivatives instruments and valuation techniques
from our Credit Derivatives Insights publications. It also contains “primers”
on credit derivatives concepts and a glossary with brief definitions for nearly
150 terms used in the market. We have organized the book into six broad
sections: instruments and primers, valuation and investment frameworks,
basis ideas, credit curves, options and embedded options, and credit market
themes. There are 74 chapters in all.
The Fourth Edition–What’s New?
This fourth edition contains 13 new and numerous revised chapters focused
on a variety of topics. Given the immense size of the market as it experiences
another turn in the credit cycle, we include material on the shift in the
balance of power among CDS users and our thoughts on operational
challenges and new counterparty risks in the system. Innovation in the
market continues, and we include new material on residential property
derivatives and CDS referencing both European sovereigns and US
municipalities. As the option markets continue to grow, we include both
primer material and strategic ideas linked to the index options markets. The
rapidly developing stress in the credit markets motivated new material on
basis trades, credit curve relationships and LCDS dynamics with higher
default rates, loan cancellations and the introduction of new LCDS indices.
We hope Morgan Stanley clients find this handbook useful, and we welcome
any feedback so that we can improve future editions.

目录：
INTRODUCTION 1
SECTION A. GETTING STARTED: INSTRUMENTS AND PRIMERS
1 A PRIMER ON SINGLE NAME INSTRUMENTS & STRATEGIES 8
2 UNDERSTANDING SYNTHETIC STRUCTURED FINANCE – FIRST STEPS 20
3 CDS ON CDOS: BACK TO THE FUTURE 32
4 LEVERAGED LOAN CDS: A FIRST STEP UP 34
5 TRADING RECOVERY RISK – THE MISSING LINK 44
6 FLOATING A NEW IDEA – CMCDS 47
7 STANDARDIZED CDS INDICES – CDX, LCDX, ITRAXX, LEVX, ABX AND CMBX 50
8 SUCCEEDING IN AN ACTIVIST WORLD – SUCCESSION LANGUAGE 57
9 RANGE ACCRUAL PRIMER 60
10 INDEX OPTIONS PRIMER 64
11 MUNI MANIA 70
12 SOVEREIGN MANIA 74
SECTION B. VALUATION AND INVESTMENT FRAMEWORKS
13 VALUING CORPORATE CREDIT: QUANTITATIVE APPROACHES VS. FUNDAMENTAL ANALYSIS 78
14 LIBOR METRICS 95
15 A TALE OF TWO CREDIT MARKETS 97
16 MAKING A POINT – UPFRONT 99
17 MERTON VS. THE MARKET 101
18 THE SENIOR SUB DIVIDE 104
19 EQUITY INDICATORS – IS THE TAIL WAGGING THE DOG? 106
20 RECALIBRATING RELATIVE VALUE 109
21 LOOKING FORWARD TO CREDIT 111
22 LEANING AGAINST THE FORWARDS 114
23 CREDIT VOLATILITY – THE UNINTENDED CONSEQUENCES 118
24 VOLATILITY CONFUSES CREDIT SPREADS 121
25 THE SECRET OF MY SUCCESS(ION) 124
26 ”WORTHLESS” PROTECTION? 127
27 RECOVERY LESSONS 133
28 THE RECOVERY MARKET’S NEXT LEG – INDICES 136
SECTION B. VALUATION AND INVESTMENT FRAMEWORKS (cont'd)
29 WHAT EXACTLY IS INDEX ARB? 141
30 LCDS, AFTER THE TRADE 144
31 RPX DERIVATIVES: NEW HOUSING TOOLKIT 147
32 DOWNTURN DURATIONS 151
SECTION C. BASIS IDEAS
33 GETTING LONG ASYMMETRY 156
34 ASYMMETRY RELOADED 159
35 WHY IS THE BASIS NEGATIVE? 162
36 NEGATIVE BASIS POINTS 164
37 THE BASIS TODAY – OPTICS VS. OPPORTUNITY 167
38 LCDS – UNDERSTANDING THE BASIS 169
39 LCDS – WHAT’S THE RIGHT CALL? 174
40 THE HIGH YIELD BASIS – CALLING ALL BONDS 178
41 HIGH YIELD, HIGHER RATES, HELLO CONVEXITY 180
42 THE AIRLINE TRIANGLE 182
43 OIL RESHAPES THE AIRLINE TRIANGLE 184
44 TURNING A TRIANGLE INTO A SQUARE 187
45 STRETCHING THE AIRLINE TRIANGLE 189
46 LIBOR, THE BID AND THE BASIS 192
47 AUTO VOLATILITY TURNS TO AUTO CONVEXITY 195
48 PLAYING LBOS WITH CDS – DETAILS, DETAILS… 198
49 WHY IS THE BASIS STILL NEGATIVE? 201
SECTION D. CREDIT CURVES
50 GETTING SHORT THE LONG END 206
51 BASIS TRADING WITH STEEP CREDIT CURVES 209
52 PAINTING CREDIT CURVES – BROAD STROKES VS. FINE LINES 212
53 CURVE LESSONS FROM HIGH YIELD 215
54 STEEP CURVES, TECHNICAL BIDS AND THE BASIS 218
55 CURIOUS ABOUT CROSSOVER CURVES? 220
56 CREDIT CURVE REGIME SHIFT 224
SECTION E. OPTIONS AND EMBEDDED OPTIONS
57 WATCHING VOLATILITY, TRADING VOLATILITY 228
58 SPREAD VOLATILITY – FINALLY SOMETHING TO SMILE ABOUT 231
59 SELLING TOMORROW’S TIGHTENING TODAY 234
60 UNDERSTANDING CORPORATE BOND OPTIONS – VALUATION ISSUES AND PORTFOLIO APPLICATIONS 237
61 OPTIONS FOR NOTHING, INTEREST RATE RISK FOR FREE 247
62 GETTING A HANDLE ON HIGH YIELD CALL RISK 249
63 COVERED CALLS AREN’T CROWDED TRADES 252
64 SO MUCH CONVEXITY, SO FEW OPTIONS 255
65 VOLATILITY GETS TECHNICAL TOO 258
66 CREDIT OPTIONS: NOT ON STRIKE 261
67 SO MANY OPTIONS, SO LITTLE TIME 264
SECTION F. CREDIT MARKET THEMES
68 MANIC COMPRESSION 268
69 RISK PREMIUM OR VIX PREMIUM? 271
70 DOES THE VIX REALLY MATTER? 274
71 DANA + DELPHI: WATCH THE COUNT AND THE ROLL 277
72 CONVEXITY, NOT COMPLEXITY 280
73 CDS EQUILIBRIUM SHIFT 284
74 STRESS TESTING THE CDS MARKET 287
SECTION G. GLOSSARY 292