Credit Derivatives: Intermediate

The terms credit derivatives and credit default swaps have gone from being only in the domain of financial professionals to being household words. This interactive course is designed for finance industry professionals who need to understand the mechanics and risks of credit derivatives. The course consists of a presentation, exercises, case studies, and topical articles for relevant discussion.

18-Nov-2010 -- 19-Nov-2010St. PetersburgUSD$2475
NY Institute of Finance - St. Petersburg9:00am - 4:30pm Instructional Method:
Group-Live
Instructor(s): [ Mayra Rodríguez Valladares; ] Thu Fri Level: Intermediate

CPE CREDITS
14.0
The course is tailored to traders, risk managers, IT personnel, auditors, regulators, lawyers, legislators, and compliance professionals.
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
  • Evaluate potential new regulations for credit derivatives
  • Identify the competing regulators and regulatory approaches for CDSs
  • Analyze competing proposals to establish clearning houses for CDS in the US, UK and Europe
Introduction to Credit Derivatives or Introduction to Financial Derivatives.
"Excellent course presented by an excellent instructor."
"I was very impressed with the course, including the material and the presentation. I learned a lot!"
"Good background history of the market and discussion of specific products."
"The professor was amazing. She was able to breakdown a complicated subject and make it clear to all levels and audiences."
"Broad overview of the credit derivatives market, covered most instruments."
  • Advanced Credit Risk Analysis
  • Exotic CDOs
    • Module I - Credit Risk Measurement
    • Identify how credit risk is modeled:
    • Structural approaches
    • Alternative approaches

    Module II - Credit Default Swap

    • Identify mechanics of vanilla, binary, portfolio and basket CDS
    • Evaluate construction and use of CDS indices
    • Define swaptions
    • Compare and contrast advantages of these instruments and their risks
    Exercise

    Module III - Pricing Credit Default Swaps

    • Identify the challenge of fair value estimates
    • Pricing single name and multiple name CDSs
    • Evaluate the role of collateral
    • Compare and contrast liquidity of contracts
    Exercise

    Module IV - Structured Credit Products

    • Identify mechanics of
    • CDOs
    • CBOs
    • CLOs and CMOs
    • Synthetic CDOs
    • Developing structured products
    Case Study: AIG

    Module V Pricing CDOs

    • Establish challenge of fair value estimates
    • Debate liquidity of contracts
    Case Study: Mortgages and CDOs

    Module VI Upcoming Regulations and the Role of Clearning Houses

    • Identify the competing regulators and politicians wanting to regulate credit default swaps
    • Agriculture subcommittee, CFTC and SEC
    • Compare and contrast attempts at regulating CDSs in the US, UK and Europe
    • Compare proposals in the US and Europe to establish clearing houses for CDSs
    • ICE
    Case Study: The US, European and UK approaches to CDS Regulation

    Clients who register for this course will receive a complimentary 3 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 subscription, call 800-628-8088 or email uscirculation@ft.com. U.S. enrollees only. (All non-U.S. enrollees will receive a subscription to FT.com only.) Lunch included for all students taking day classes.

    Lunch included for all students taking day classes.