Credit Derivatives: Intermediate

This interactive course is designed for finance industry professionals who already have an introductory background in derivatives. The course consists of a presentation, exercises, case studies, and topical articles for relevant discussions.

03-Nov-2008 -- 04-Nov-2008New YorkUSD$2375register
NY Institute of Finance - Midtown9:00am - 4:30pm Instructional Method:
Group-Live		email course to a friend
Instructor(s): [ NYIF Instructor; ] Mon Tue Level: Intermediateemail a sales rep
CPE Credits: 14.0print this course

The course is tailored to traders, risk managers, IT personnel, auditors, regulators, lawyers, and compliance professionals. Useful follow-up courses are Exotic CDOs and advanced credit default swaps.
No advance preparation required.
Students will be able to:
  • Compare and contrast credit risk measurement approaches
  • Identify mechanics of credit default swaps
  • Single name, basket, portfolio, Swaptions
  • Identify uses of CDS indices
  • Evaluate pricing methodologies for credit default swaps
  • Identify mechanics of Collateralized Debt Obligations
  • Price CDOs
Introduction to Credit Derivatives or Introduction to Financial Derivatives. Financial calculator required.
"Excellent course presented by an excellent instructor."
  • Advanced Credit Risk Analysis
  • Credit Default Swaps: From Vanilla to Exotic
    • Module I - Credit Risk Measurement
    • Modeling credit risk
    • Structural approaches
    • Alternative approaches

    Module II - Credit Default Swap

    • Brief review of vanilla, binary, portfolio, and basket CDS
    • CDS Indices
    • Swaptions
    Exercise

    Module III - Pricing Credit Default Swaps

    • Challenge of fair value estimates
    • Pricing single name and multiple name CDSs
    • Role of collateral
    • Liquidity of contracts
    Exercise

    Module IV - Structured Credit Products

    • Mechanics of CDOs
    • Mechanics of CBOs
    • Mechanics of CLOs and CMOs
    • Mechanics of Synthetic CDOs
    • Mechanics of Developing structured products
    Case Study: Barclays

    Pricing CDOs

    • Challenge of fair value estimates
    • Liquidity of contracts
    Case Study: Mortgages and CDOs

    Credit Derivatives’ Impact

    • The economy
    • Financial sector
    • Regulators

    Clients who register for this course will receive a complimentary 6 month subscription to the Financial Times and FT.com. The Financial Times is the world's most respected financial newspaper providing a broad assessment on finance, business and the industrial sector. Subscriptions will start within 6-8 weeks of the application process, and are limited to one per client. For questions about your subscriptions call 800-628-8088 or email uscirculation@ft.com. US and Canada enrollees only.

    Lunch included for all students taking day classes.