Credit Derivatives and Structured Products 2: Pricing and Book Management

LEVEL: ADVANCED LEVEL

▪	Very operational approach of the pricing and structuring of credit derivatives
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▪	Analyse structured credit products (FTD, CLN, CDO default swaptions etc.)
▪	Master the pricing and hedging of CDS (reduced models and structured models)
▪	Understand the pricning and hedging of CDOs
▪	Master the impact of various risk factors (spread, default, correlation)

▪	Highly operational approach to pricing
▪	and structuring credit derivatives
▪	Practical workshop to consolidate knowledge

▪	Book managers
▪	Risk managers
▪	Risk management and finance departments
▪	Credit derivative traders/structurers
▪	Specialised finance professionals
▪	Middle office
▪	Audit

Pricing CDS
▪	Structural models (Merton model)
▪	Arbitrage equity/credit
▪	Reduced models
▪	Hedging
▪	Practical workshop . Analysis of a duration-neutral position . Analysis of a steepening position
Pricing and hedging structured credit derivatives
▪	First-to-default
▪	Credit Linked Notes
▪	Default swaptions
▪	Practical workshop . Pricing of various products in EXCEL™
Pricing and hedging CDOs
▪	Balance sheet CDO sand synthetic CDOs (CSO)
▪	Market description
▪	Key points of a CDO (diversity score, rating factor, …)
▪	CDO single tranche (Bespoke)
▪	Index tranches and correlation trading
▪	Hedging principles (delta, gamma, rho, DTR, etc.)
▪	Practical workshop . Analyse long and short positions in CSO tranches
Current credit strategies
▪	CDO tranches
▪	Option credit strategies
▪	Dynamic strategies (CPDO)
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Securitisation and ABS
▪	Description and classification of ABS
▪	Impact of pre-payment risk
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