Course Category

• Credit derivatives market
• Basic instrument types of credit derivatives
• Its main applications
• Pricing and regulatory issues

Credit Risk

• Basics of credit risk
• Quantitative measurement techniques
• Pricing of credit risk
• Comparison of models for credit risk
• Applications of Credit Derivatives

Credit Rating Dynamics

• Rating process from the perspective of major rating agencies
• Analysis of implications for credit derivatives
• Analysis of risks involved

Emerging Markets

• Status of credit derivatives market within emerging markets
• Risks involved in emerging markets and how credit derivatives can alleviate them
• A few credit derivative structures in an emerging market framework

Classic Credit Derivatives

• Credit Guarantees
• Revolving Credit
• Repos
• Asset Swaps

Total Return Swaps

• Basic structure of total return swap agreements
• Various applications of such instrument
• Benefits to various parties
• Issues affecting bank regulatory capital
• Pricing related issues

Structured Notes

• Need, nature and types of Credit-linked Notes
• Structures and advantages
• Unique features of these structures
• Variations possible from the basic structure

Repackaged Notes

• Concept of repackaged notes
• Comparison with other structures
• Structures and designs
• Various strategies adopted for repackaging

Credit Portfolio Securitization Structures

• Nature and types of collateralized bond and loan obligations
• Differences among them
• Synthetic structures
• Key areas of risk
• Regulatory capital issues

Case Studies for CPSS

• Rose
• Nations Bank Commercial Loan Master Trust
• CORE
• Glacier
• Bistro
• Eisberg Finance Ltd.
• C Star

Credit Default Swaps

• Main features of credit default swaps
• Pricing issues
• Various structure types
• Uses, advantages and disadvantages

Case Studies for Credit Default swaps

• H.K Synthetic Deal
• The Fourth Promise Securitization Programme

Credit Spread Options

• Basics of Credit Spread options
• Credit Spread Puts
• Credit Spread Calls
• Credit Spread Collars
• Credit Spread Forwards

Bank and Institutional Applications

• Credit Portfolio Management through Credit Derivatives
• Portfolio Credit Default Swaps
• Synthetic Securitization
• A case study BISTRO (Broad Index Secured Trust Offering)

Investor Applications

• Creating synthetic credit exposure resembling a corporate bond
• Credit overlays and their use
• Leverage in credit derivatives
• Creating structures with desired risk profiles

• Existence of credit risk in corporate portfolio
• Uses of credit derivatives as a tool for transferring credit risk
• Present users of credit risk

Pricing Credit Derivative Instruments

• Theoretical models for pricing credit derivatives
• Pricing of default swaps
• Asset swap approach
• Pricing of credit spread options

Risk involved in Credit Derivatives

This module discusses various risks involved in using credit derivatives like credit risk, reputation risk, liquidity risk, transaction risk, compliance risk, legal and regulatory risk, counterparty risk, and pricing risk. It also covers principles of risk management

Documentation

• ISDA and The Master Agreement
• ISDA objectives and benefits of standard documentation
• Definitions in line with ISDA Documentation
• Applicability of Credit Definitions

Regulations

• Regulations related to both funded and unfunded credit derivatives
• Treatment of credit derivatives in the trading book
• The New Capital Adequacy Framework
• Variations in the treatment of specific issues in different jurisdictions

Legal Issues

• Evolving legal issues concerning credit derivatives
• Applicability of some statutory laws to credit derivative transactions
• How related legal aspects are dealt with in the U.S. and three European nations

Accounting

• General principles of derivatives accounting under FAS 133
• Accounting for Credit Derivatives using
• Fair-Value Hedge Accounting, and
• Cash Flow Hedge Accounting
• Examples of Total Return Swaps and Credit Default Swaps

Taxation

• Total return swaps
• Default swaps and
• Credit-linked notes
• Credit Spread Options

Powered by Kesdee