Credit Derivatives Training

60 Hours / 3 Months / Mentor Supported

Course Overview:

The development of credit derivatives is a logical extension of two significant developments: securitization, and derivatives. Credit derivatives are contracts that transfer an asset’s risk and return from one counterparty to another without transferring ownership of the underlying asset. The choice of the contract depends upon the goals a financial institution is looking to achieve. The global market for credit derivatives is still quite small compared with other derivatives markets, but it is growing rapidly. A number of impediments could slow the growth of this market, most of which revolve around the complexity involved in pricing and documenting these transactions.

Course Outline:

Overview to Credit Derivatives
  • Objectives
  • Introduction
  • Types
  • Applications
  • Other Issues
Credit Risk
  • Objectives
  • Introduction
  • Measuring Credit Risk
  • Managing Credit Risk
  • Credit Pricing
  • Models for Credit Risk
  • Application of Credit Derivatives
Credit Rating Dynamics
  • Objectives
  • Introduction
  • Approaches
Emerging Markets
  • Objectives
  • Introduction
  • Why Credit Derivatives
  • Risks
  • Credit Derivatives Structures
  • Total Return Products
  • Credit Default Risk Products
  • Credit Spread Risk Products
  • Structured Notes
  • Convertibility Products
Classic Credit Derivatives
  • Objectives
  • Introduction
  • Credit Guarantees
  • Revolving Credit
  • Repos
  • Asset Swaps
Total Return Swaps
  • Objectives
  • Basics
  • Benefits
  • Usage
Structured Notes
  • Objectives
  • Credit Linked Notes
  • Structured Notes
  • Types
Repackaged Notes
  • Objectives
  • Concepts
  • Repackaging Vehicles
  • Repackaging Strategies
Credit Portfolio Securitization Structures
  • Objectives
  • Introduction
  • CLOs and CBOs
  • Key Areas of Risk
  • Other issues
Case Studies for CPSS
  • Objectives
  • Rose
  • Nations Bank Commercial Loan Master Trust
  • CORE
  • Glacier
  • Bistro
  • Eisberg Finance Ltd.
  • C Star
Credit Default Swaps
  • Objectives
  • Introduction
  • Main Features
  • Pricing Credit Default Swaps
  • Uses of Credit Swaps
  • Types of Credit Default Swaps
  • Disadvantages of Credit Swaps
Case Studies for Credit Default Swaps
  • Objectives
  • Bank Synthetic Securitization
  • Single Name Credit Risk Transfer
  • H.K Synthetic Deal
  • The Fourth Promise Securitization Programme
Credit Spread Options
  • Objectives
  • Basics
  • Credit Spread Puts
  • Credit Spread Calls
  • Credit Spread Collars
  • Credit Spread Forwards
Bank and Institutional Applications
  • Objectives
  • Introduction
  • Credit Portfolio Management through Credit Derivatives
  • Examples
  • Portfolio Credit Default Swaps
  • BISTRO (Broad Index Secured Trust Offering)
Investor Applications
  • Objectives
  • Introduction
  • Investor Applications
  • Examples
Corporate Applications
  • Objectives
  • Introduction
  • Main Applications of Credit Derivatives
  • Present Users of Credit Derivatives
Pricing Credit Derivative Instruments
  • Objectives
  • Introduction
  • Pricing Default Swaps
  • Asset Swap Approach
  • Pricing Credit Spread Options
Risks Involved In Credit Derivatives
  • Objectives
  • Introduction
  • Credit Derivatives Risks
  • Various Risks- an in-depth Look
  • Risk Management Principles
  • Interactive Game
Documentation
  • Objectives
  • Introduction
  • ISDA® Master Agreement
  • Credit Definitions
  • Some more definitions
  • Documentation for different
    transactions
Regulations
  • Objectives
  • Introduction
  • Unfunded Credit Derivatives
  • Funded Credit Derivatives
  • Mismatches
  • Banking and Trading Book
  • The New Capital Adequacy
  • International Bank Regulations
Legal Issues
  • Objectives
  • Introduction
  • General Legal Issues
  • Documentation
  • Confidentiality
  • Netting
  • Gaming
  • Securities and Insider Dealing
Accounting
  • Objectives
  • General Principles
  • Accounting for Credit Derivatives
  • Example-Total Return Swaps
  • Example-Credit Default Swap
Taxation
  • Objectives
  • Total Return Swaps
  • Default Swaps
  • Credit Linked Notes % Spread Options

All necessary materials are included.


System Requirements:

Internet Connectivity Requirements:
  • Cable and DSL internet connections are recommended.
Hardware Requirements:
  • Minimum Pentium 400 Mhz CPU or G3 Macintosh. 1 GHz or greater CPU recommended.
  • 256MB RAM minimum. 1 GB RAM recommended.
  • 800x600 video resolution minimum. 1025x768 recommended.
  • Speakers/Headphones to listen to Dialogue steaming audio sessions.
  • A microphone to speak in Dialogue streaming audio sessions.
Operating System Requirements:
  • Windows Vista, 7, 8, 8.1, 9, 10
  • Mac OSX 10 or higher.
  • OpenSUSE Linux 9.2 or higher.
Web Browser Requirements:
  • Google Chrome is recommended.
  • Firefox 13.x or greater.
  • Internet Explorer 6.x or greater.
  • Safari 3.2.2 or greater.
Software Requirements:
  • Adobe Flash Player 6 or greater.
  • Oracle Java 7 or greater.
  • Adobe Reader 7 or greater.
Web Browser Settings:
  • Accept Cookies
  • Disable Pop-up Blocker.


** Outlines are subject to change, as courses and materials are updated. Software is not included with the purchase of the course, unless otherwise specified. Students are responsible for the purchase and installation of the necessary course software. **