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Bear Stearns: Introduction to Asset-Backed CDS
作者：Cyan Sinha
资源类别：报告
资源格式: PDF 56 Pages 英 1.40 MB
目录:
Section I: Introduction
Introduction ....................................................................... 6
....................................................................... 6Historical Background ....................................................................... 6
....................................................................... 6Section II: Review
Corporate CDS ....................................................................... 10
....................................................................... 10Asset-Backed Securities ....................................................................... 11
....................................................................... 11Section III: Asset-Backed CDS Market
Growth of Asset-Backed CDS ....................................................................... 16
....................................................................... 16Asset-Backed CDS Investor Base ....................................................................... 16
....................................................................... 16Section IV: Asset-Backed CDS vs. Corporate CDS
Unique ABS Bond Characteristics ....................................................................... 20
....................................................................... 20Section IV: Asset-Backed CDS Contract
I. Pay-As-You-Go (PAUG) Asset-Backed CDS ....................................................................... 24
....................................................................... 24Interest Shortfall Variants ....................................................................... 26
....................................................................... 26II. Cash-Settle Asset-Backed CDS ....................................................................... 29
....................................................................... 29III. Physical Settle Option under PAUG or ....................................................................... 35
....................................................................... 35Cash-Settle Asset-Backed CDS
Section V: Asset-Backed CDS Valuation
Asset-Backed CDS Pricing ....................................................................... 40 Risk-Neutral Pricing ....................................................................... 42 Static Replication Pricing ....................................................................... 43 Unwind Valuation of Asset-Backed CDS ....................................................................... 49 Section VI: A Look Ahead A Look Ahead ....................................................................... 52 Appendix I: Example of CDS Cash Flows ....................................................................... 53 Appendix II: Static Replication for a Discount ....................................................................... 55 Bond
Risk-Neutral Pricing ....................................................................... 42
Static Replication Pricing ....................................................................... 43
Unwind Valuation of Asset-Backed CDS ....................................................................... 49
....................................................................... 49Section VI: A Look Ahead
A Look Ahead ....................................................................... 52
....................................................................... 52Appendix I: Example of CDS Cash Flows ....................................................................... 53
....................................................................... 53Appendix II: Static Replication for a Discount ....................................................................... 55
....................................................................... 55Bond
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