Credit Derivatives: IntermediateCredit 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. |
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| Treasury managers, credit analysts, financial analysts, traders, operations personnel, auditors, compliance officers, lawyers and regulators. |
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| No advance preparation required. |
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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;
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| Introduction to Credit Derivatives or equivalent knowledge. Financial calculator required. |
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| Advanced Credit Risk AnalysisCredit Default Swaps: From Vanilla to Exotic |
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Day 1Introduction- 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 | Day 2Credit 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
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| 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. |
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