Credit Derivatives: IntermediateThis 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. |
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| 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. |
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| No advance preparation required. |
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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
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| Introduction to Credit Derivatives or Introduction to Financial Derivatives.
Financial calculator required. |
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| Advanced Credit Risk AnalysisCredit Default Swaps: From Vanilla to Exotic |
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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
ExerciseModule III - Pricing Credit Default Swaps- Challenge of fair value estimates
- Pricing single name and multiple name CDSs
- Role of collateral
- Liquidity of contracts
ExerciseModule 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: BarclaysPricing CDOs- Challenge of fair value estimates
- Liquidity of contracts
Case Study: Mortgages and CDOsCredit Derivatives Impact- The economy
- Financial sector
- Regulators
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| 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. |
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