Credit Derivatives for Lawyers

Course Overview:

At the end of the course delegates will understand the development of the credit derivatives market, the structure of these products and their uses for credit risk hedging and trading

Course Content:

Overview

• Underlying, market, size and participants
• The credit markets
• The reasons for a credit derivative market
• Risk splitting

Understanding the Concept of Credit Risk and Credit Derivatives

• What is credit risk?
• Analysing the factors involved
• Calculation of credit spreads
• Pricing of credit derivatives

The Basic Instruments

• The Antecedents to Credit Derivatives
• Credit Default Swaps
• The roles of the protection buyer and protection seller
• Total Return Swaps (TRS)

Variations

• Contingent Default Swaps
• Dynamic Default Swaps
• Basket Default Swaps
• First Loss Credit Swap
• Cross Guarantees

Risks in Credit Derivatives

• Practical Issues
• Marking to Market & Liquidity Issues
• Two-name risk
• Moral Risk
• Hidden exposures
• Other risks

Clearing Credit Default Swaps

• Standardisation of CDS
• Documentation & clearing platform
• Use of Bloombergs