| Mechanics and uses of CDOs |
| ▪ | Cash and synthetic CDOs
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| ▪ | Description of the market
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| ▪ | Uses
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| . | hedging or risk management, management of balance sheet
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| . | portfolio optimisation, arbitrage
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| ▪ | Various types of collateral
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| ▪ | Index portfolios (iTraxx, CDX), bespoke portfolios
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| ▪ | The models of rating agencies
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| ▪ | Risk analysis
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| ▪ | Practical workshop
. Calculation of expected loss on a CDO tranche
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| ▪ | Pricing CDOs
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| ▪ | Practical workshop
. Cash-flow discounting in a determined scenario |
| Usual strategies |
| ▪ | CPPI credit
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| ▪ | Structured on ABS baskets (CPPI/CDO/Funds)
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| ▪ | Index tranche strategies or bespoke portfolios
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| ▪ | CPDO
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| ▪ | Various ways of structuring an equity tranche |
| Introduction to hedging |
| ▪ | Delta and gamma notions
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| ▪ | Impact of a default on highly leveraged products
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| ▪ | Impact on unparallel spread shifts
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| ▪ | Implicit corelation and basis correlation |
| Comparison of various total return credit strategy |
| ▪ | CDO single tranche
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| ▪ | Long equity/short mezzanine
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| ▪ | Strategies on equity tranches
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| ▪ | How to maximise profits from opposite views on two credit portfolios
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| ▪ | Practical workshop
. For every strategy: calculation of various indicators of risk and return.
. Choice of strategy according to the investor’s risk/return profile.
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| ▪ | Practical workshop
. Analysis of the recent market turmoil |
| Market prospects |
