
Explain asset side products that generate returns on cash and liability side products that manage cash outflows. Use cross-currency swaps, as in Infosys, to hedge dollar liabilities into INR.
Evaluate how credit risk impacts the balance sheet and capital allocation by using ratings from Fitch, S&P, Moody's, from triple A to junk, and understanding default and credit events.
Explore how credit default swaps are priced and traded, define obligations as loans or bonds, and show how dealers quote five-year CDS contracts across maturities.
Extract default probabilities from a bond term structure using survival and recovery. Demonstrate the equivalence of bonds and cds and how cds can replicate a bond for synthetic cash.
Explore other credit derivatives, including credit linked notes with custom ranges and range accruals, and learn CDS forwards and options with hedging via volatility.
Explore basket default swaps by deriving the price of a defaultable zero-coupon bond, showing how yield, the risk-free rate, recovery, and the CDS spread relate.
Analyze how the probability of two entities defaulting combines as p(a)+p(b) minus p(a∩b), highlighting independence vs perfect correlation and the resulting impact on basket cds spreads and protection seller profits.
he 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
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