<Credit Derivatives and Credit Indices>

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Course Details

Credit Derivatives and Credit Indices

overview	This seminar looks at credit derivatives from a front office trading and structuring perspective. It is very interactive and participants will take part in the case study exercises, work in small teams, and use spreadsheets for pricing and hedging credit risk instruments.
objectives	At the end of this course, participants will: be familiar with the popular credit risk transfer instruments available in the market, their applications, and the market participants, have learned how credit risk is priced by traders, have used Excel models to price floating rate notes (“FRN”), asset swaps, and credit default swaps, have learned how to structure credit default swaps (“CDS”), credit linked notes, total return swaps, and index default swaps, including pricing, documentation, dealing with credit events, and reviewing the inherent risks, have an understanding of the mechanics, structuring, and pricing of credit options, and have an understanding of how Index trading is taking over the world of credit trading.
who should attend?	This course is aimed professionals familiar with credit markets and credit default swaps.
duration	1 day
prior knowledge	Familiarity working with Excel spreadsheets and with basic statistical mathematics, such as standard deviation and the derivation of probabilities from the normal distribution curve.
syllabus	Overview of credit structures in capital markets Pricing credit risk Credit default swaps (CDS) CDS pricing CDS arbitrage opportunities Credit-linked notes (CLNs) Total return swaps Second generation credit derivatives