Credit Derivatives and Credit Structured Products

London Financial Studies
En Singapore (Singapur), New York (Estados Unidos)
1 opinión


Información importante

Tipología Short course
Inicio En 2 sedes
Duración 2 Days
Inicio clases A elegir
  • Short course
  • En 2 sedes
  • Duración:
    2 Days
  • Inicio clases:
    A elegir

The objective of this two day workshop is to familiarize participants with the products, trading conventions, pricing models and applications of credit derivative products as well as structured debt products. Products covered include Credit Default Swaps, Total Return Swaps, Credit Linked Notes and CDOs.

Información importante
¿Qué objetivos tiene esta formación?

¿Esta formación es para mí?

Loan officers
Risk managers
Fixed income professionals
Corporate bankers
Investors and fund managers

Requisitos: Participants are expected to have a general knowledge of the capital markets and derivatives products.

Instalaciones y fechas

Dónde se imparte y en qué fechas

Inicio Ubicación
A elegir
New York
New York, Estados Unidos
Ver mapa
A elegir
The Finexis Building, Singapore, Singapur
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Inicio A elegir
New York
New York, Estados Unidos
Ver mapa
Inicio A elegir
The Finexis Building, Singapore, Singapur
Ver mapa


Lo mejor This is a decent course. Andre is exceptionally seasoned.

A mejorar Nothing.

Curso realizado: Marzo 2015 | ¿Recomendarías este centro?

¿Qué aprendes en este curso?

Credit Derivatives
Counterparty Risk
Balance Sheet CDOs
Pricing CDOs
Trading conventions


Day One

Credit Derivatives
Introduction to Credit Derivative Products
  • Credit Default Swaps
    - Mechanics and Structuring of single name and Index CDS
    - Issues: Reference Entities, Definition of Credit Event, Settlement
  • Pricing a single name CDS
    - Actuarial Methods
    - Spread induced Methods
    - Equity Pricing Methods / KMV
  • Basket and “nth to Default” CDS – Mechanics
    - Discussin on Default correlation Issues
  • Total Rate of Return Swaps
  • Credit Spread Forward Contracts
  • Credit Spread Options contracts
  • Counterparty Risk in CDS – correlation between Underlying Default and Counterparty Default
Standardized ISDA Contracts for Credit Derivatives
  • The ISDA Standard CDS Model
  • Variations on CDS contracts and other credit derivatives
Pricing and Hedging Credit Derivatives
  • Example of hedging a sovereign CDS
Day Two

Structured Credit Products
Credit Linked Notes – Structuring and Applications
  • Asset Backed Securities vs CDO Tranches
CDOs – Mechanics, Structuring Issues, Risk Transfer Applications
  • Balance Sheet CDOs
  • Arbitrage CDOs
  • Synthetic CDOs
  • Static vs. Managed CDOs
  • AB CDOs
  • CDO2, CDO3
  • CPDOs (constant Proportional Debt Obligations)
Pricing CDOs
  • Rating Based Methods
  • Dealing with Default correlations via Copula Functions
  • The “Contigent Leg Pricing Method”
  • The “Fee Leg Pricing Method”
  • Numeric Examples
  • Dealing with Implied correlations
  • Portfolio effects and the Value of Diversification – Discussion in light of lessons learned from the crisis in 2008
Hedging CDO Exposure
Conclusions and Discussions
Este curso está en español. Traducir al inglés