Barclays Standard CDS Market Manual (巴克萊標準信用違約互換市場指南)

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本文為《巴克萊標準信用違約互換市場指南》，CDS市場於2009年開始，開始啟用了ISDA定下的標準CDS合約，北美合約分為固定票息100bps和500bps兩類。要從CDS的基本，估值，經濟學到最新的CDS市場變化，此文一一為讀者介紹。 現時市場大部分的CDS書籍都在2009年之前編寫，所以此文則能讓讀者更了解CDS市場的現況。

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关键词：Standard Barclays Barclay Manual market Standard Manual market CDS 巴克

这本书对不太了解CDS的朋友我觉得可以作为一个起点。

Sincerely recommending it as an introduction to the current CDS market for today!

多谢LZ，很有用的资料。我提供一下目录：
FOREWORD................................................................................................................................................ 1
1. THE CDS PRODUCT............................................................................................................................. 3
Ongoing evolution of the CDS market......................................................................................................4
Cash flows................................................................................................................................................... 5
Transaction specification ......................................................................................................................... 6
Cash flow trading conventions for standard corporate CDS............................................................ 6
Credit events and deliverable obligations ............................................................................................. 8
Credit event trading conventions for standard corporate CDS .....................................................10
The Determinations Committees and auction settlement .............................................................11
Succession events ...................................................................................................................................13
2. CDS PRICING 15
Valuation and mark-to-market .............................................................................................................16
CDS exposures.........................................................................................................................................20
Closing out a CDS trade..........................................................................................................................24
Counterparty risk, margin and central clearing.................................................................................25
Pricing in practice: the CDSW function ...............................................................................................28
Pricing in practice: the Barclays Capital Live CDS Converter..........................................................31
Technical Appendix ................................................................................................................................31
3. STANDARD CDS ECONOMICS 34
Single standard CDS positions................................................................................................................. 35
Switch trades ............................................................................................................................................... 37
Curve trades................................................................................................................................................. 43
Forward trades ............................................................................................................................................ 47
Capital structure trades ............................................................................................................................. 51
Basis trades .................................................................................................................................................. 55
Analysing basis: the Barclays Capital Live BRD tool........................................................................... 58
4. CDS MARKET STANDARDISATION 60
CDS market changes in 2009................................................................................................................... 61
Developments in the European CDS market........................................................................................ 62
European standard contract and the small bang ............................................................................... 72
Standard European contract launched.................................................................................................. 75
Central clearing for credit derivatives .................................................................................................... 78
REFERENCES ...........................................................................................................................................83

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