Redcliffe Training Associates

Credit Derivatives

Redcliffe Training Associates

£ 3001-4000
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Important information

Typology Short course
Methodology Inhouse
Class hours 6h
Duration 1 Day
Start Different dates available
  • Short course
  • Inhouse
  • 6h
  • Duration:
    1 Day
  • Start:
    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.

Facilities (1)
Where and when
Starts Location
Different dates available
Starts Different dates available

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What you'll learn on the course

Credit Derivatives
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
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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

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