Lecture 3: Swaps -- CDS, CDX, IRS, TRS, Basis Swap, Repo and Dollar Rolls
Автор: Lauren James
Загружено: 2020-10-07
Просмотров: 8546
Описание:
Starting with an introduction to credit derivatives, this video explains how credit-default swaps work. After covering credit event triggers, settlement, pricing quotations, discrete- and continuous-time pricing formulas, and CDX indices, this video also covers other swaps, including interest rate swaps, total return swaps, cross-currency basis swaps, as well as a review of repos and dollar roll funding with MBS.
-- By Slides --
1: Overview of credit derivatives
2: Overview of key terms
3: Introduction to the CDS product
4: Defining a "Credit Event"
5: Settlement Types: Cash vs Physical
6: Pricing Standards and Quoting
7: Discrete-Time Pricing Formulas
8: Continuous-Time Pricing Formulas (Stochastic Calculus)
9: CDX IHS MarkIt Indicies
10: Interest Rate Swap (IRS)
11: Total Return Swap (TRS)
12: Cross-Currency Basis Swap
13: Repos with MBS Paper
14: Dollar Rolls: Alternative to Repos with MBS
15: Painting the Full Picture
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