Credit Derivatives
Short course
Inhouse
Description
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Type
Short course
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Methodology
Inhouse
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Class hours
6h
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Duration
1 Day
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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.
Facilities
Location
Start date
Start date
Reviews
Subjects
- 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
Contact us for details enquiries@redcliffetraining.co.uk
Course programme
Course Content
Overview
- 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