Credit Derivatives: Intermediate - Evening

The terms ‘credit derivatives’ and ‘credit default swaps’ have gone from being only in the domain of financial professionals to being household words. This interactive course is designed for finance industry professionals who need to understand the mechanics and risks of credit derivatives. The course consists of a presentation, exercises, case studies, and topical articles for relevant discussion.

Please note that an online virtual session of this class is also available - please call for details!

No sessions currently available. Contact client services to get the next available date.
CPE CREDITS
15.0
The course is tailored for traders, risk managers, IT personnel, auditors, regulators, lawyers, legislators, and compliance professionals.
No advance preparation required.
Students will be able to:
  • Compare and contrast credit risk measurement approaches
  • Identify mechanics of credit default swaps: single name, basket, portfolio, Swaptions
  • Identify uses of CDS indices
  • Evaluate pricing methodologies for credit default swaps
  • Identify mechanics of Collateralized Debt Obligations
  • Price CDOs
  • Evaluate potential new regulations for credit derivatives: identify the competing regulators and regulatory approaches for CDSs
  • Analyze competing proposals to establish clearing houses for CDS in the US, UK, and Europe
Introduction to Credit Derivatives or Introduction to Financial Derivatives. Financial calculator required.
"Excellent and knowledgeable instructor who was patient and engaged"
"I was very impressed with the course, including the material and the presentation. I learned a lot!"
"Good background history of the market and discussion of specific products"
"The professor was amazing. She was able to breakdown a complicated subject and make it clear to all levels and audiences."
"Broad overview of the credit derivatives market, covered most instruments."
  • Exotic CDOs
  • Credit Default Swaps: From Vanilla to Exotic
    • IMPORTANT SCHEDULE NOTE
    Please see the Detailed Outline below for specific course dates.
    Session 1 - Monday, September 20, 2010
    Credit Risk Measurement
    • Identify how credit risk is modeled:
    • - Structural approaches
    • - Alternative approaches

    Session 2 - Tuesday, September 21, 2010
    Credit Default Swaps
    • Identify mechanics of vanilla, binary, portfolio and basket CDS
    • Evaluate construction and use of CDS Indices
    • Define swaptions
    • Compare and contrast advantages of these instruments and their risks

    Session 3 - Wednesday, September 22, 2010
    Pricing Credit Default Swaps
    • Identify the challenges of fair value estimates
    • Price single name and multiple name CDS
    • Evaluate the role of collateral
    • Compare and contrast liquidity of contracts

    Session 4 - Wednesday, September 29, 2010
    Structured Credit Products
    • Identify mechanics of:
    • - CDOs
    • - CBOs
    • - CLOs and CMOs
    • - Synthetic CDOs
    • - Developing structured products

    Session 5 - Tuesday, October 12, 2010
    Pricing CDOs
    • Establish challenge of fair value estimates
    • Debate liquidity of contracts

    Session 6 - Wednesday, October 13, 2010
    Upcoming Regulations and the Role of Clearing Houses
    • Identify the competing regulators and politicians wanting to regulate credit default swaps: agriculture subcommittee, CFTC, and SEC
    • Compare and contrast attempts at regulating CDS in the US, UK, and Europe
    • Compare proposals in the US and Europe to establish clearing houses for CDS: ICE

    Clients who register for this course will receive a complimentary 4-month subscription to FT.com. The Financial Times is the world's most respected financial newspaper, providing a broad assessment on finance, business and the industrial sector. The move to the electronic version follows an ongoing review of our environmental responsibilities as a global business and as part of the Pearson group. FT.com also has features that are not available in hard copy, such as: Special Reports, Alphaville, editor blogs, education sections and much more! Subscriptions will start within 6-8 weeks of the start of class and are limited to one subscription per client. (Please note: as of May 1, 2011, the electronic subscription replaces the hard-copy 3-month Financial Times subscription.)

    Lunch is included for all students taking day classes.