Credit Default Swaps

Start Dates: TBC

Duration: 1 Day

Full Fee: €600

Network Members Fee: €350 Book Now

Programme overview

This course provides a detailed overview of credit derivatives. Students will learn about single-name credit default swaps (CDS), basket CDS, contingent CDS, credit-linked notes, synthetic CDOs, and index-linked credit derivative products. Students will explore standardization and the role of ISDA. Students will learn about the use of credit derivatives for hedging and speculation, and the controversies surrounding certain credit derivative products

Learning outcomes:

  • Identify and define various types of credit default swaps
  • Understand CDS indexes and index derivatives
  • Understand the structures of non-CDS credit derivatives
  • Describe the uses of credit derivatives-arbitrage, speculation and risk management (CVA)
  • Understand recent market activity and regulation
  • Understand market observations-pros and cons

Who is the course for?

Bank staff needing to understand CDS in either front or middle office. We can also revise the solution for a settlements or finance audience.

Course Content:

Online pre-work

  • Credit Derivatives – An Introduction
  • Credit Derivatives – Single-Name CDS

Workshop Overview

  • Focus on single name CDS
    • What is a CDS?
    • Contract specification
    • CDS quotes
    • CDS example
    • Default risk transfer
    • Credit events
    • Settlement and credit fixings
    • Recent developments
    • Facts and figures
  • Credit derivative varieties
    • Basket CDS
    • Contingent CDS
    • Credit-linked notes
  • CDS Facts and figures
  • CDS uses
    • Opportunities and exposure
    • Banks as end users
    • Bond portfolio managers as users
    • Example: Funding cost advantage
  • Fundamentals of credit default swap valuation
  • Synthetic CDOs
    • What is a CDO?
    • Arbitrage versus balance sheet
    • What is a synthetic CDO?
  • Index linked products
    • CDX, iTraxx, other indexes
    • CDS index derivatives

Post Course

  • Credit Derivatives – CDS Indices
  • Credit Derivatives – CDS Valuation
  • Credit Derivatives – CDS Documentation & Settlement
  • Credit Derivatives – Variations

Scenario – CDS Relative Value Trading

Trainer Profile

Please contact for further information on training providers.