What is a CDS? How does a CDS behave in response to changes in the markets? How does one value a CDS? What is the risk? This primer aims to answer these questions for plain-vanilla single-name CDS, showing that a CDS is equivalent to a leveraged floating-rate corporate bond (a floating rate note or FRN).
This is an 11-page paper available as a .pdf, originally written October 2008, revised December 2009, available here on the CloseMountain site and also available at Social Science Research Network (SSRN).