"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.