
Explore the basics of credit derivatives, how they transfer default risk to a third party, and key concepts like pricing, regulation, and risk in practical examples.
Explore how credit derivatives hedge credit risk and enhance income, featuring credit default swaps, collateralized debt obligations, and credit linked, while examining market participants.
Explore how credit risk drives market risk, and how credit derivatives and credit default swaps transfer and hedge exposure through netting, collateralization, and downgrade triggers.
Explore unfunded and funded credit derivatives, including cds, credit spread swaps, total rate of return swaps, basket cds, cdo, and credit linked notes, with Isda master agreements.
Explore credit spread forwards and spread options on credit default swaps, including protection buyer and seller roles, cash settlement, and pricing mechanics for widening spreads.
Explore collateralized debt obligations and related securitizations, including CDOs, CLOs, and CDO squared. Understand SPV-based tranching, risk transfer, and credit linked notes that diversify credit risk and yield.
Examine total return swaps and credit spread options, calculating payments using LIBOR or Treasury spreads, and discounting bond cash flows under moving yields to determine payoffs.
Explore pricing considerations in credit derivatives, including standard credit default swaps, recovery rates, liquidity, and pricing models for baskets and customized contracts.
Compare structural and reduced-form credit pricing models, focusing on information sets, default triggers, and the exogenous default rate or intensity driving pricing and hedging of credit risk.
Examine survival probability and default intensity in reduced-form credit models, where default follows a Poisson process, and learn recovery rate and default and premium legs of a credit default swap.
Explain discrete-time credit default swap pricing using default intensity and recovery assumptions, with fixed recovery and rate, and show how varying the intensity parameters a and c shapes the premium.
Explore risk-neutral default probabilities and credit default swap pricing, including intensity models, quarterly premiums, and recovery considerations using Hull-White insights.
The course discusses about the Derivative market and understanding the forward contracts and its relationship with interest rates. This training are for all those who are new to credit derivatives but want a deeper understanding of them and how they work with practical examples.
The training will include the following;
-Overview of Credit Derivatives
-Types of Credit Derivatives
-Pricing considerations
-Regulation and Risk
The main aim of this course is to teach you what credit derivatives are, what the different forms of credit derivatives are. You will be also learning how credit derivatives is priced with the help of simplified assumptions. Through this course you will be also learning about credit risk, credit default swaps, credit events, credit linked notes, other credit derivatives, and what are the uses of credit derivatives in market. The course covers the in-depth explanation about the credit derivatives along with the practical examples for the proper understanding about credit derivatives structured finance.
Course Objective:
To understand the concept of credit derivatives structured finance
To get in-depth knowledge about the concepts with practical exam.
The followings will be taught in details in this course:
Types of Credit Derivatives
Credit Spread Forwards
Types of Credit Linked Note
Pricing Considerations
More on Pricing Considerations
Computation of Credit Derivatives
More on Credit Derivatives