Credit Derivatives and Structured Products: Pricing and Book Management

Credit Defaul Swaps (CDS)
  • Use of credit derivatives
  • Structural models (Merton model)
  • Intensity models
  • Sensitivity to spread risk
  • Practical workshop
  • Analysis of a duration-neutral position
  • Analysis of a steepening position
Pricing and hedging of structured credit derivatives
  • First-to-default (FtD)
  • Credit Linked Notes (CLN)
  • Default swaptions
  • Practical workshop
  • Construction of a FtD pricer
Pricing and hedging of CDOs
  • CDO balance sheet and synthetic CDO (CSO)
  • Market description
  • Sensitivity of CDOs to various risk factors
  • CDO single tranche (Bespoke)
  • Index tranches and correlation trading
  • Hedging principles (delta, gamma, rho, DTR, etc.)
  • Practical workshop
  • Long and short positions in CSO tranches
Current credit strategies
  • CDO tranches
  • Credit options
  • Dynamic strategies on credit index (ex. CPDO)
Securitisation and ABS
  • Classification of ABS
  • Impact of prepayment risk for various levels of securitisation exposure seniority
New regulations for trading books
  • Incremental Risk Charge (IRC)
  • Comprehensive Risk Measure (CRM)
  • Securitisation capital charge

  • Know how to analyse structured credit products (First to default, EDS, CMCDS, CPPI, Swaptions)
  • Price and hedge Credit Default Swaps (structural models and reduced form models)
  • Price and hedge basket products, mixed products and CDOs
  • Understand the impact of various risk factors (spread, correlation, default...)
  • Understand the economic and regulatory environment of structured credit products
  • Understand the lessons gained from the crisis
  • Highly operational approach to pricing and structuring credit derivatives
  • Detailed description of the economic and regulatory environment of structured credit products
  • Book managers
  • Risk managers
  • Risk management and finance departments
  • Credit derivative traders / structurers
  • Specialised finance professionals
  • Middle office
  • Audit
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