Structured Credit Modeling
Gain CPE:14 Credits

ITEM fipr0502

Location

Please select date...

$2,695.00
$2,695.00$2,156.00-20
group
In Person
update
2 Days
language
English
school
Professional

Please select date...

$2,695.00
$2,695.00$2,156.00-20
group
In Person
update
2 Days
language
English
school
Professional

Please select date...

$2,695.00
$2,695.00$2,156.00-20
group
In Person
update
2 Days
language
English
school
Professional

Price as configured: $2,695.00

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
Curriculum
What You'll Learn
Who Should Take This
eventDay 1

Module 1: Review of Fundamentals

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

Module 2: Basket Default Swaps

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

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
Back to Top
eventDay 2

Module 1: CDS Portfolio Indices

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

Module 2: CDS Index Tranches

  • Implied default correlation
  • Compound correlation
  • Base correlation
  • Correlation skew
  • Term structure effects
Back to Top

Module 3: CDO Risk Management

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

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
Back to Top

    Desk-Ready Skills

  • Develop a sound understanding of CDO structures
  • Infer implied default correlation from basket default swap prices
  • Calculate survival curves for CDO tranches
  • Measure risk sensitivities of CDO tranches
  • Learn how to build a variety of models to price portfolio credit risk

Recommended for:

Quantitative analysts

derivatives researchers and traders
credit risk managers
credit analysts and researchers.

Prerequisite knowledge:

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

 

Recommended NYIF courses to satisfy prerequisite knowledge:

  • Valuation and Credit Risk Management (Classroom
3 days)
about nyif
90+ years of essential education
for finance professionals delivered
by leading industry experts
contact us
160 Broadway, 15th FL
New York, NY 10038
+1 347 842 2501