CDS Pricing and Asset Swaps: The CDS Basis | Part 4 | Moorad Choudhry

Our last look at credit default swaps (CDS) discusses the CDS Basis, which is the spread between the price of credit in the derivatives market and credit in the cash market. It's a really interesting topic, but when one observes banks failing it reminds one that products like CDS impact only a very small number of the world's banks (they happen to be the largest banks though!).
The relevant references are noted below:
Structured Credit Products, 2nd edition
www.wiley.com/...