Credit Derivatives: Intermediate - Evening

Credit has always been the most intractable of the financial risks to manage. The application of derivative risk management technology to credit risk has resulted in making credit derivatives a rapidly growing market segment with a high rate of innovation. This hands-on course guides participants through the characteristics and mechanics of credit derivative products being created. It focuses on the their creation, need, and evaluation.

10-Jun-2008 -- 25-Jun-2008New YorkUSD$1775
NY Institute of Finance - Midtown5:45pm - 8:15pm Instructional Method:
Group-Live
Instructor(s): [ Mayra Rodríguez Valladares; ] Tue Wed Level: Intermediate
CPE Credits: 16.0

08-Sep-2008 -- 24-Sep-2008New YorkUSD$1775
NY Institute of Finance - Midtown5:45pm - 8:15pm Instructional Method:
Group-Live
Instructor(s): [ Mayra Rodríguez Valladares; ] Mon Wed Level: Intermediate
CPE Credits: 16.0

Treasury managers, credit and financial analysts, traders, investment bankers, risk officers, operations personnel, auditors, compliance officers, lawyers and regulators.
No advance preparation required.
Students will be able to:
  • Define credit risk
  • Describe the mechanics of major credit derivatives
  • Price credit derivatives
  • Identify risks that arise from credit derivatives
  • Evaluate risk management process of credit derivatives
  • Identify basic capital regulatory requirements
"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"
Scheduling Note
This class meets twice a week for three weeks.
Introduction
  • Role of Credit Derivatives in Financial Markets
  • Market Participants
  • Risks of Credit Derivatives
  • Market Statistics and Future Growth of Credit Derivatives
  • Overview of Regulatory Authorities Role

Types of Credit Risk

  • Credit Default Risk
  • Credit Spread Risk
  • Downgrade Risk

Credit Derivatives Conventions

  • The Basics
  • Single Name
  • Default Baskets
  • Market Terminology
  • ISDA and Legal Documentation
  • Credit Events
  • Termination Value and Settlement
  • Conditions to Payment

Asset Swaps

  • Mechanics of an Asset Swap
  • The Asset Swap - Credit Default Swap Basis
  • Exercise

Total Return Swaps

  • Mechanics
  • Pricing
  • Exercise

Credit Default Swaps

  • Mechanics of Single, Portfolio, Index, and Exotic CDSs
  • Pricing
  • Exercise

Structured Products

  • Credit Linked Notes
  • Collateralized Debt Obligations
  • Collateralized Loan Obligations
  • Collateralized Bond Obligations
  • Synthetic CDOs
  • Exercise and Case Study

Risks of Credit Derivatives

  • Credit
  • Market
  • Liquidity
  • Legal
  • Operations

Risk Management of Credit Derivatives

  • Board Oversight
  • Role of Risk Manager
  • Philosophy, Policy and Procedures
  • Influence of Basel II

Clients who register for this course will receive a complimentary 6 month subscription to the Financial Times and FT.com. The Financial Times is the world's most respected financial newspaper providing a broad assessment on finance, business and the industrial sector. Subscriptions will start within 6-8 weeks of the application process, and are limited to one per client. For questions about your subscriptions call 800-628-8088 or email uscirculation@ft.com. US and Canada enrollees only.

Lunch included for all students taking day classes.