overview |
This course looks at collateralised debt obligations (CDOs) from a front office trading and structuring perspective. It is very interactive and participants will take part in exercises and case studies in small groups using spreadsheets for pricing and hedging credit risk instruments. |
objectives |
At the end of this course, participants will have:
- explored the fastest growing area in capital markets – credit derivatives and securitization,
- gained an understanding of the driving forces, market participants, and application of credit structures, and be able to identify the various structures/products available for enhancing value,
- learned about the tools and techniques used for pricing and structuring credit structures, and have discovered the complexities of managing credit risk structures,
- learned about the latest regulatory changes and its likely impact on this market, and
- explored key strategies for maximizing shareholder/customer value through these structures.
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who should attend? |
This course is aimed professionals familiar with credit markets and credit default swaps. |
duration |
1 day |
prior knowledge |
A sound understanding of derivatives or attendance of the Credit Derivatives and Credit Indices module, an understanding of credit derivative products such as credit default swaps, and familiarity with MS Excel. |
syllabus |
Day 1
- Introduction to credit securitisation and CDOs
- The building blocks of credit securitisation
- Understanding default correlation and portfolio credit structures
- Tranching credit risk into buckets for CDO pricing
- Overview of CDO menu
- Synthetic CDOs
Day 2
- Asset-side analysis
- Rating agency approach
- Synthetic model arbitrage — a case study
- Synthetic collateralise debt obligations ("SCDOs")
- Synthetic market value arbitrage CDOs
- Single tranche synthetic CDOs (“STSCDOs”)
- Applying constant proportion portfolio insurance to credit (“CPPI”)
- Constant proportion debt obligations (“CPDOs”)
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