20: Credit Default Swaps

Lecture PDF

Lec 20-1: FT: Internationalization of the Euro

FT article link (1)

FT article link (2)

Lec 20-2: Credit indices

CDX indices

Lec 20-3: Fischer Black (1970), risk-free security

Lec 20-4: What is a Credit Default Swap (CDS)?

Lec 20-5: Corporate bonds

Lec 20-6: CDS pricing

Lec 20-7: Market making in CDS

Lec 20-8: Example: Negative basis trade and Liquidity Risk

UBS Shareholders Report

Lec 20-9: Example: Private backstop of marketmaking in CDS

SIGTARP report on AIG

Lec 20-10: Example: Synthetic CDO as Collateral Prepayment

Fines imposed on Abacus deal