Mastering Credit Derivatives
A comprehensive and practical guide to the current credit derivatives market
Course Highlights
Attend this two-day intensive course and gain a practical understanding of:
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The credit derivatives market, its current size and key players
The uses and applications of credit derivatives
The impact of recent market turmoil
Credit default swaps, credit-linked note and CDOs
Credit derivative pricing
Bank regulatory capital requirements, documentation and legal considerations
The outlook for a market influx
For details of the course trainer, please download the course brochure
Booking Information
| Dates | Prices | Book This Course | Discount |
|---|---|---|---|
| 15 - 16 Nov 2010 |
£ 1999 |
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| 19 - 20 May 2011 |
£ 1999 |
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|
Course Programme
DAY ONE
INTRODUCTION
The Credit Derivatives Market
- Introduction to credit products
- Drivers behind credit derivative market growth
- Market overview and summary of the credit crisis
- Summary of users and applications
- The credit crisis
PRODUCT OVERVIEW - SINGLE NAME PRODUCTS
The Credit Default Swap
- Product mechanics
- Recent market changes - "Big and small bang"
- Structuring considerations
- User applications
- Case study
PRODUCT OVERVIEW– INDEX PRODUCTS
Credit Linked Note
- Product mechanics
- Pricing overview
- Structuring considerations
- User applications
- Case study
PRODUCT OVERVIEW– INDEX PRODUCTS
iTraxx
- Product mechanics and pricing
- Structuring considerations
- User applications
LEGAL AND REGULATORY
Documenting a Credit Default Swap
- Overview of documentation framework
- Putting together a confirmation
- Credit event: role of the Determination Committee
- Settlement: hardwiring of the auction mechanism
The Regulatory Environment
- Overview of Basle I and risk based capital
- Capital treatment of credit derivatives
- Regulatoru responses to the crisis
DAY TWO
PRODUCT OVERVIEW– COMPLEX PRODUCTS
First to Default Swap
- Product mechanics
- Introduction to correlation
- Structuring considerations
- User applications
PRODUCT OVERVIEW– COMPLEX PRODUCTS
Collateralised Debt Obligations
- Product mechanics
- Categorising CDOs
- Investor benefits
- Full capital structure vs. single tranche CDO
PRODUCT OVERVIEW– COMPLEX PRODUCTS
Collateralised Debt Obligations (continued)
- CDOs and the credit crisis
- Current market crisis
PRICING, VALUATION AND RISK MANAGEMENT
Introduction to pricing of single name credit derivatives
- Pricing exercise
- Introduction to hazard rates
- Deriving a back-of-the envelope CDS valuation
- Case study
USER APPLICATIONS
Risk Management Applications
- Credit risk management
- Regulatory capital management
- Credit line management
- Balance sheet management
Investor Applications
- Leverage and returns
- Infrastructure
MARKET CHANGES
The Move to Central Clearing
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