Credit Derivatives

Short course


£ 3001-4000


  • Type

    Short course

  • Methodology


  • Class hours


  • Duration

    1 Day

  • Start date

    Different dates available

This course will cover credit derivatives and is suitable for anyone currently working in this area of finance or who would like to work in this area.

Delegates will begin with a brief overview of the current market size and expected growth, as well as the participants. From a basic understanding of why derivatives came about, you will learn more about credit risk and credit derivatives. There will also be an analysis of credit spreads and the calculation and construction of credit spread curves.

Delegates will also learn about basic instruments and other products, such as credit default and contingent default swaps, dynamic default swaps, sale & TRS packages. Notes and options will also be covered.

By the end of this seminar, delegates will be familiar with the basic credit derivatives, their raison d'être, structures and pricing factors. They will appreciate the risks transferred by these products (and the residual risks that are not).

In addition, delegates will appreciate the uses of credit derivatives for corporate financing structures and the circumstances in which they might be utilised for hedging risk, both from a client standpoint and from that of the corporate banker.



Start date


Start date

Different dates availableEnrolment now open

Questions & Answers

Add your question

Our advisors and other users will be able to reply to you

Who would you like to address this question to?

Fill in your details to get a reply

We will only publish your name and question



  • Credit Derivatives
  • Finance
  • Expected Growth
  • Liquidity Issues
  • Credit Risks
  • Trading Opportunities
  • Credit Spreads
  • Default Swaps
  • Credit Linked Notes
  • Cross Guarantees
  • Moral Risk
  • Hidden Exposures
  • Practical Issues

Teachers and trainers (1)

Former  Practitioner

Former Practitioner

Contact us for details

Course programme

Course Content


  • Historical development,
  • Current diversity & expected growth
  • Market size
  • The participants

Reasons for the Creation & Development of the Credit Derivative Market

  • Need for investment uplift
  • Greater awareness of credit risk
  • Better tools to assess credit risk
  • Perceived opportunities for arbitrage
  • Need to diversify and / or dissipate credit risk
  • Liquidity issues / opportunities
  • Disappearance of other trading opportunities

Understanding the Concept of Credit Risk and Credit Derivatives

  • Risk splitting
  • The roles of the protection buyer and protection seller
  • Constraints of transactions
  • The role of the intermediaries

Analysis of Credit Spreads

  • Calculation of credit spreads
  • Construction of credit spread curves
  • The three main variables: credit spread, default probability and recovery value
  • Rating agencies
  • History of default rates

The Basic Instruments

  • The Antecedents to Credit Derivatives
  • Credit default swaps
  • Total return swaps

Other Products

  • Contingent Default Swaps
  • Dynamic Default Swaps
  • Sale & TRS packages
  • Equity TRS Leveraged notes
  • First Loss Credit Swap
  • Credit-linked notes
  • Cross Guarantees
  • Spread Options
  • Credit Put Option
  • Substitution Option

The Credit-Linked Note Market-Place

  • Structures
  • Understanding the buyer
  • Elements in the production process
  • Vehicles for issuance

Risks in Credit Derivatives

  • Practical Issues
  • Moral Risk
  • Hidden exposures
  • Other risks

Credit Derivatives

£ 3001-4000