The Credit Default Swap Basis

"A timely and well-researched book on a key aspect of the credit derivatives market. Investors will gain much valuable insight from Moorad Choudhry's landmark text on the credit default swap basis, its drivers, and its behavior."

—Suleman Baig

Structure, Deutsche Bank Global Markets

The growth of the credit derviatives market has produced a liquid market in credit default swaps across the credit curve, and this liquidity has led many investors to access both the credit derivative and cash bond markets to meet their investment requirements.

This book investigates the close relationship between the synthetic and cash markets in credit, which manifests itself in the credit default swap basis. Choudhry covers

• Factors that Drive the Basis

• Iimplications for Market Participants

• The CDS Index Basis

• Trading the Basis

Credit market investors and traders as well as anyone with an interest in the global debt markets will find The Credit Default Swap Basis insightful and rewarding.

Dr. Moorad Choudhry is head of Treasury at KBC Financial Products in London. He is a visiting professor at the Department of Economics, London Metropolitan University, a visiting research fellow at the ICMA Centre, University of Reading; a senior fellow at the Centre for Mathematical Trading and Finance, Cass Business School; and a fellow of the Securities and Investment Institute. Choudhry is the author of numerous books, including Fixed-Income Securities and Derivatives Handbook.