{"id":265,"date":"2019-01-15T16:25:00","date_gmt":"2019-01-15T21:25:00","guid":{"rendered":"https:\/\/sites.bu.edu\/perry\/?page_id=265"},"modified":"2019-01-17T16:08:20","modified_gmt":"2019-01-17T21:08:20","slug":"20-credit-default-swaps","status":"publish","type":"page","link":"https:\/\/sites.bu.edu\/perry\/lectures\/mb-lectures\/section-2\/20-credit-default-swaps\/","title":{"rendered":"20:  Credit Default Swaps"},"content":{"rendered":"<p><strong><a href=\"\/perry\/files\/2019\/01\/Lec-20-Credit-Derivatives.pdf\" target=\"_blank\" rel=\"noopener\">Lecture PDF<\/a><\/strong><\/p>\n<p>Lec 20-1: FT: Internationalization of the Euro<\/p>\n<p><a href=\"http:\/\/www.ft.com\/intl\/cms\/s\/0\/736bd72a-3c9a-11e2-a6b2-00144feabdc0.html#axzz2kSlR3qdU\"><span style=\"font-weight: 400;\">FT article link (1)<\/span><\/a><\/p>\n<p><a href=\"http:\/\/www.ft.com\/cms\/s\/0\/62ad4fba-3b1c-11e2-b111-00144feabdc0.html#axzz2kSlR3qdU\"><span style=\"font-weight: 400;\">FT article link (2)<\/span><\/a><\/p>\n<p><a href=\"http:\/\/www.ft.com\/cms\/s\/0\/62ad4fba-3b1c-11e2-b111-00144feabdc0.html#axzz2kSlR3qdU\"><iframe loading=\"lazy\" width=\"560\" height=\"315\" src=\"https:\/\/www.youtube.com\/embed\/mmgYLekyw3Y\" frameborder=\"0\" allowfullscreen=\"allowfullscreen\"><\/iframe><\/a><\/p>\n<p>Lec 20-2: Credit indices<\/p>\n<p><a href=\"http:\/\/www.markit.com\/en\/products\/data\/indices\/credit-and-loan-indices\/cdx\/cdx-prices-iframe.page\"><span style=\"font-weight: 400;\">CDX indices<\/span><\/a><\/p>\n<p><iframe loading=\"lazy\" width=\"560\" height=\"315\" src=\"https:\/\/www.youtube.com\/embed\/ypmwhTFWFfU\" frameborder=\"0\" allowfullscreen=\"allowfullscreen\"><\/iframe><\/p>\n<p>Lec 20-3: Fischer Black (1970), risk-free security<br \/>\n<iframe loading=\"lazy\" width=\"560\" height=\"315\" src=\"https:\/\/www.youtube.com\/embed\/47gfinIdtFo\" frameborder=\"0\" allowfullscreen=\"allowfullscreen\"><\/iframe><\/p>\n<p>Lec 20-4: What is a Credit Default Swap (CDS)?<br \/>\n<iframe loading=\"lazy\" width=\"560\" height=\"315\" src=\"https:\/\/www.youtube.com\/embed\/UD2e2FgC-vs\" frameborder=\"0\" allowfullscreen=\"allowfullscreen\"><\/iframe><\/p>\n<p>Lec 20-5: Corporate bonds<br \/>\n<iframe loading=\"lazy\" width=\"560\" height=\"315\" src=\"https:\/\/www.youtube.com\/embed\/8I9IN6i0kOY\" frameborder=\"0\" allowfullscreen=\"allowfullscreen\"><\/iframe><\/p>\n<p>Lec 20-6: CDS pricing<br \/>\n<iframe loading=\"lazy\" width=\"560\" height=\"315\" src=\"https:\/\/www.youtube.com\/embed\/t2o_EuZv43U\" frameborder=\"0\" allowfullscreen=\"allowfullscreen\"><\/iframe><\/p>\n<p>Lec 20-7: Market making in CDS<br \/>\n<iframe loading=\"lazy\" width=\"560\" height=\"315\" src=\"https:\/\/www.youtube.com\/embed\/2TgKw3ulHYA\" frameborder=\"0\" allowfullscreen=\"allowfullscreen\"><\/iframe><\/p>\n<p>Lec 20-8: Example: Negative basis trade and Liquidity Risk<\/p>\n<p><a href=\"http:\/\/maths-fi.com\/ubs-shareholder-report.pdf\"><span style=\"font-weight: 400;\">UBS Shareholders Report<\/span><\/a><\/p>\n<p><a href=\"http:\/\/maths-fi.com\/ubs-shareholder-report.pdf\"><iframe loading=\"lazy\" width=\"560\" height=\"315\" src=\"https:\/\/www.youtube.com\/embed\/qnC-_nLfSHE\" frameborder=\"0\" allowfullscreen=\"allowfullscreen\"><\/iframe><\/a><\/p>\n<p>Lec 20-9: Example: Private backstop of marketmaking in CDS<\/p>\n<p><a href=\"http:\/\/www.sigtarp.gov\/Audit%20Reports\/Factors_Affecting_Efforts_to_Limit_Payments_to_AIG_Counterparties.pdf\"><span style=\"font-weight: 400;\">SIGTARP report on AIG<\/span><\/a><br \/>\n<iframe loading=\"lazy\" width=\"560\" height=\"315\" src=\"https:\/\/www.youtube.com\/embed\/ynwQ5-gJUcQ\" frameborder=\"0\" allowfullscreen=\"allowfullscreen\"><\/iframe><\/p>\n<p>Lec 20-10: Example: Synthetic CDO as Collateral Prepayment<\/p>\n<p><a href=\"http:\/\/www.reuters.com\/article\/2014\/03\/12\/us-goldmansachs-sec-tourre-idUSBREA2B11220140312\"><span style=\"font-weight: 400;\">Fines imposed on Abacus deal<\/span><\/a><br \/>\n<iframe loading=\"lazy\" width=\"560\" height=\"315\" src=\"https:\/\/www.youtube.com\/embed\/jIfYYYztlm4\" frameborder=\"0\" allowfullscreen=\"allowfullscreen\"><\/iframe><\/p>\n","protected":false},"excerpt":{"rendered":"<p>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: [&hellip;]<\/p>\n","protected":false},"author":15799,"featured_media":0,"parent":249,"menu_order":8,"comment_status":"closed","ping_status":"closed","template":"","meta":[],"_links":{"self":[{"href":"https:\/\/sites.bu.edu\/perry\/wp-json\/wp\/v2\/pages\/265"}],"collection":[{"href":"https:\/\/sites.bu.edu\/perry\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/sites.bu.edu\/perry\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/sites.bu.edu\/perry\/wp-json\/wp\/v2\/users\/15799"}],"replies":[{"embeddable":true,"href":"https:\/\/sites.bu.edu\/perry\/wp-json\/wp\/v2\/comments?post=265"}],"version-history":[{"count":3,"href":"https:\/\/sites.bu.edu\/perry\/wp-json\/wp\/v2\/pages\/265\/revisions"}],"predecessor-version":[{"id":418,"href":"https:\/\/sites.bu.edu\/perry\/wp-json\/wp\/v2\/pages\/265\/revisions\/418"}],"up":[{"embeddable":true,"href":"https:\/\/sites.bu.edu\/perry\/wp-json\/wp\/v2\/pages\/249"}],"wp:attachment":[{"href":"https:\/\/sites.bu.edu\/perry\/wp-json\/wp\/v2\/media?parent=265"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}