Credit derivatives overview
Course
In
Description
-
Type
Course
-
Start date
Different dates available
Background
Credit Derivatives are the fastest-growing segment of the derivatives market and are transforming the credit markets. They have become the benchmark instrument for credit risk pricing in the loan and bond markets and have significantly extended participation beyond the traditional players by attracting insurers. The single-name Credit Default Swap has emerged as the standard instrument and focus of liquidity allowing multiple-name products and forwards and options based on it to evolve at a rapid pace.
Delegates
Delegates should be familiar with the fundamentals of government and corporate bonds.
Bank lending officers
Institutional Bond Sales staff
Loan and bond Syndication staff
Bond Fund Manager
Bond and Derivative Brokers
Finance Directors and Treasurers
Derivatives Back office staff
Lawyers
Accountants
Regulators
IT Executives involved with Credit Derivatives
This course is eligible for CPE or CPD credits with the Law Society and other professional bodies.
Facilities
Location
Start date
Start date
Reviews
Subjects
- Risk
- Staff
- Portfolio Management
- Market
- Swaps
- Options
- Credit
- IT risk
- Credit Derivatives
- Derivatives
Course programme
Background
-Credit portfolio management.
-The limitations of the traditional credit risk market.
-The impact of the Capital Adequacy Directives.
Credit Default Swaps (CDS)
-Terms, physical delivery vs cash-settled.
-Main applications
-Who uses them and why
-The Cheapest To Deliver option
Forward CDS
-Terms.
-Applications.
CDS Options
-Terms.
-Application.
Total Return Swaps
-Terms.
-Application.
Credit/Bond Options
-Terms.
-Applications
Pricing CDS
-Replication: the asset swap and the default cash basis.
-Reduced form models.
-Structural models and the equity-credit connection.
CDS documentation
-ISDA-s 2003 Definitions.
-Reference entity, Credit events and the dispute over Restructuring.
-Reference and deliverable obligations.
Multiple-name products
-The importance of correlation.
-Credit-Linked Notes (CLNs).
-Portfolio swaps.
-nth to default basket swaps.
-Index swaps.
-Tranched index swaps.
-Synthetic Securitisation
Todays Date: 8 September 2017
Duration 1 day
Credit derivatives overview