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Credit Derivatives Essentials

The Credit Derivatives essential course offers a thorough exploration of each product, including mechanics, trading conventions, pricing, investment and trading strategies, pitfalls, risk management, infrastructure needs, and regulatory capital for banks.

27 Modules

Overview

Certificate

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Credit derivatives are instruments that allow one party to transfer the credit risk of an asset (or basket of assets) to another party without transferring ownership of the underlying asset(s). Credit derivatives have a wide range of structures and can be used for both credit risk management and speculation.

The market is worth several trillion dollars in notional amounts outstanding today (in spite of a downturn following the credit crisis). The most popular credit derivatives contract continues to be the credit default swap (CDS). Notable milestones in the evolution of the CDS market were the changes to the global CDS contract and CDS market trading conventions in 2009 (collectively known as the CDS Big Bang/Small Bang).

This course provides a thorough overview of the credit derivatives market, including an examination of the core structures and definitions, a review of the key product types, an exploration of the crucial area of credit derivatives valuation, and a look at key initiatives in the regulation of credit derivatives activity.

This course takes you through the mechanics of the most basic form of credit derivative trade and builds on this to describe a number of other credit derivatives.

The course outlines the typical applications of the different credit derivatives in the market, including single- and multi-name credit default swaps, the total rate of return swaps, credit-linked notes, and credit options. The associated risks, along with the pricing of these instruments and the legal/regulatory issues involved in their use, are also discussed.

Credit Derivatives.
Collateralized Debt Obligations (CDOs).
Credit Default Swap Indexes.
Credit Valuation.
Valuing Fixed and Variable Payments.
Bootstrapping Default Probabilities from a CDS Curve.
Upfront Amounts and Fixed Coupons.
CDS Sensitivities and Hedging.
Pricing Multi-Name Structures.
European Debt Crisis.
Collateral Damage: The AIG Nightmare.

Recruits to institutions with derivatives operations, risk managers, research staff, sales and marketing executives, operations and support staff looking to further their derivatives product knowledge, and compliance professionals.