The speaker discusses valuing a credit default swap. The speaker discusses how he is solving for CDS spreads and that the probabiity adjusted present value of the expected payments needs to equal the probability adjusted present value of the expected payout from the protection seller.
The speaker presents the concept of a credit default swap basket. It is very similar to a CDS but the reference asset consists of a basket of debt obligations.
Steve Kroft from 60 minutes takes a deep dive into the credit default swaps market and discusses how this financial instrument has added fuel to the financial fire on Wall Street.
The speakers continues his discussion of credit default swaps and discusses the systemic risks that are inherent to these securities and also why he considers them financial weapons of mass destruction.
The speaker provides a detailed overview of credit default swaps. A CDS is an insurance contract which is purchased by the holder of a bond or security to protect them against a credit default.
Using a 5 year Treasury Note, the speaker explains how the cash flows, or coupon payments, of a treasury security can be stripped out of the bond and sold as an individual security, basically as a zero coupon bond. For example, a 5 year treasury security paying interest semi-annually would have 10
The speaker discusses the cheapest to deliver treasury bond. He suggests that the role of the conversion factor is to make the short seller in the treasury bond futures indifferent in delivery among various different government bonds. The short seller will ma
The speaker covers the basics of a treasury inflation protected security, or TIPS. TIPS are tied to the consumer price index and adjust the value of your bond by the increase(decrease) in this index. For example, if
This video discusses how the US treasury bonds are equal to junk. The dollar is not being supported by the US government. Forbes believes that a stronger dollar will crank up the stock market. He is most concerned with the tax code that can have dramatic effects on business
In the time of this great economic crisis, Dr.
The speaker discusses syndicated bank loans. Syndicate loans have become the fastest growing segment within the asset backed securities market; however, banks are staying away from packaging variable rate debt as it is a maintenance nightmere. He also tal
Roubini suggests that SIVs, or structured investment vehicles, should have been forbidden from the outset. He suggests that they are Enron style special purpose entities which performed off balance sheet transactions and did not have to abide by any regulations or capital requirements. Banks
The speaker discusses the federal reserve's open market operations including the daily fed repo. A repo is a means for controlling money supply in circulation. Temporary open market operations implement short term monetary policy through short term repurchase