CREDIT DERIVATIVES 1:
Risk Management,
Trading and Arbitrage

Course Outline

In today's market, credit derivatives are at the forefront of risk management. This comprehensive two-day course is for anyone who wishes to create profitable opportunities in this market through trading, arbitrage, risk management or by creating liquidity. It will provide an in-depth description of all credit products including Default Swaps, Total Return Swaps, Credit Linked Notes, CDOs and CLOs as well as address the differing motivations.

 

• How credit derivatives can help financial market participants mitigate the effects and recover from the aftermath of recent volatility 
• How firms are using credit derivatives to profit from turmoil in the credit markets
• Lessons learned for both the sell and buy sides in the credit markets
• How the credit derivative markets are changing as a result
• Exploration of how a similar meltdown might occur again and how to be prepared

Who The Course is For

• Derivative Structurers and Financial Engineers
• Credit Traders, Managers and Analysts
• Sales People
• Fund and Portfolio Managers
• IT Staff supporting the Structured Product Group
• Middle and Back Office Staff and Managers

• Product Controllers
• Credit Risk Department

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This program is eligible for 16 Continuing Education credit hours from the CFA Institute. If you are a CFA Institute member, CE credit for your participation in this program will be automatically recorded in your CE Diary.

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Day One

• Classification of Credit Derivatives
• Market Characteristics
• Credit Default Swaps
  Mechanics
  Who uses them, why they use then and how they use them

• Total Return Swaps
  Mechanics
  Who uses them, why they use them and how they use them
  Comparison to default swaps

• Credit Linked Notes
  Mechanics
  Who uses them, why they use them and how they use them
  Designing a Principal Protected Credit-Linked Note

Day Two

• Portfolio Products
  First to default Swaps
  CDO's/CLO's
  Who uses them, why they use them and how they use them
• Introduction to Pricing Issues
• Documentation
• Regulatory Issues
• Operational Issues
  Managing Credit Derivatives
  Designing Trading Guidelines for Credit Derivatives

• The Future of Credit Derivatives