Advanced Credit Derivatives have attracted strong interest from the investment and banking community over the past 20 years and has been used extensively by banks, mutual and hedge funds, as well as by individual investors. The credit derivatives ability to easily mitigate, transfer or disseminate credit risk has had an essential role in its development, generating considerably growth over the past decade from an estimated $4.5 trillion notional amount in 2004 to an estimated $12 trillion notional amount in June 2016.
Whether it is for arbitraging or for hedging purposes, or for managing economic or regulatory capital, advanced credit derivatives, in their different instrument types and in combinations, have been used successfully both to reduce credit risk and to enhance yield by gaining credit exposure.
This course gives participants the opportunity to gain a comprehensive insight into the credit derivatives market and expand their knowledge on all aspects of structuring, pricing, risk management and trading credit derivatives instruments. The course will enable attendees to find out how experts price and hedge credit derivative instruments to enhance portfolio returns, and understand how to maximize investment or risk mitigation opportunities offered by credit derivatives.
Participants will be provided with the skills and techniques necessary to work with different credit derivatives and get acquainted with the pricing and risk management of credit derivatives.
Teaching methodology will include discussions, casework and exercises. Participants will participate fully in activities which will ensure understanding and learning.
Persons working or having worked in the field of the derived credits and possessing robust bases on credit products. Ideally the participant should have 24 months experience in Treasury and/or Capital Markets.
Exercises, multiple choice Q&A – recap on basics
Case Studies: Putting it all together : worked examples by participants
Case study: analyzing and correcting a single name CDS term sheet
Case study: valuing a credit linked note – discussion of the correct solution
Case studies: important considerations for running a credit derivatives business