Structured Credit Modeling

New York Institute of Finance

ITEM FIPR0502

24 Oct 2024 - 25 Oct 2024

09:00 AM - 04:30 PM

$2,695.00

group

In-person (NY Campus)

update

2

language

English

school

Professional

24 Oct 2024 - 25 Oct 2024

09:00 AM - 04:30 PM

$2,695.00

videocam

Virtual (Full-time)

update

2

language

English

school

Professional


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17

Structured Credit Modeling

Understand models for assessing the value and risk of portfolio credit default swaps, tranched credit index products and various types of collateralized debt obligations.

This course is a component of the Advanced Credit Risk Professional Certificate.

CPE Credits: 14

Prerequisite knowledge:

  • Knowledge of credit modeling
  • Intermediate MS Excel skills
  • Elementary differential calculus
  • Basic probability and statistics

 

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Module 1: Review of Fundamentals

  • Credit modeling frameworks
  • Default dependence ('correlation')
  • Copula functions
  • Mechanics of credit default swap (CDS) contracts

Module 2: Basket Default Swaps

  • Mechanics of basket trades
  • First-to-default valuation and implied default correlation
  • Higher order default valuation

Module 3: Collateralized Debt Obligations

  • Mechanics of CDO trades: Cash-flow and synthetic structures
  • Tranche valuation and implied default correlation
  • Applying the large homogeneous portfolio (LHP) approximation
  • Implementation of the Gaussian Copula

Module 1: CDS Portfolio Indices

  • Mechanics of the standard indices
  • Index valuation
  • ABS, CMBS and Loan CDS Indices

Module 2: CDS Index Tranches

  • Implied default correlation
  • Compound correlation
  • Base correlation
  • Correlation skew
  • Term structure effects

Module 3: CDO Risk Management

  • Risks: Idiosyncratic vs systematic
  • The LH+ model
  • Tranche hedging

Module 4: Portfolio Credit Products and Trading Strategies

  • Constant proportional portfolio insurance (CPPI)
  • Credit CPPI
  • Constant proportion debt obligations (CPDO)
  • CDO-Squared
  • Credit default swaptions
  • Leveraged super-senior tranches
  • Recovery swaps and locks
  • Capital structure arbitrage
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Structured Credit Modeling

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$2,695.00

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