Credit Default SWAPS (3 Days)

Duration: 3 Days

Programme overview

By attending this 3-day course, you will acquire a unique in-depth knowledge of how credit default swaps and related products operate in practice. By examining real structures, you will understand how the risks are transferred, or not, from all points of view including those of the regulators.

The course will discuss in detail how the markets currently operate, and how both single-name and index-linked products are structured, priced and valued. Via a range of computer-based exercises and demonstrations, you will develop a first-hand understanding of the key models and their applications, which you will be able to apply immediately after the course.

Learning Outcomes

  • Acquire a working knowledge of credit derivative structures, applications, trading mechanisms, documentation and settlement, especially following the major developments in 2009
  • Understand the relationship between credit derivatives and the physical credit markets such as corporate bonds
  • Practice CDS pricing using both the cash markets and modelling approaches, and understand how the fundamental probabilities and recovery rates may be estimated
  • Understand credit indices, and how they operate
  • Model credit indices using alternative approaches
  • Discuss the current regulatory treatment of credit products from both a buyer’s and seller’s perspective

Who Should Attend

The course will be of value to all executives involved in structuring, pricing, sales & trading, origination, product control, credit portfolio management, risk management and investment. It will also be of interest to executives with responsibility for systems and IT support, documentation, audit, compliance and legal aspects of credit derivatives.

Course Content

  • The Credit Derivative Market
  • Single-name CDSs
  • Pricing of Generic Single-Name CDSs
  • Modelling CDSs
  • Credit indices
  • Modelling a Credit Index
  • CDOs – a brief overview
  • Banking regulatory treatment of Credit products

Trainer Profile