The Credit Derivatives essential course offers a thorough exploration of each product, including mechanics, trading conventions, pricing, investment and trading strategies, pitfalls, risk management, infrastructure needs, and regulatory capital for banks.

US$104 per 365 days


What is Credit Derivatives:

Credit derivatives are instruments that allow one party to transfer the credit risk of an asset (or basket of assets) to another party without transferring ownership of the underlying asset(s). Credit derivatives have a wide range of structures and can be used for both credit risk management and speculation.

The market is worth several trillion dollars in notional amounts outstanding today (in spite of a downturn following the credit crisis). The most popular credit derivatives contract continues to be the credit default swap (CDS). Notable milestones in the evolution of the CDS market were the changes to the global CDS contract and CDS market trading conventions in 2009 (collectively known as the CDS Big Bang/Small Bang).

This course provides a thorough overview of the credit derivatives market, including an examination of the core structures and definitions, a review of the key product types, an exploration of the crucial area of credit derivatives valuation, and a look at key initiatives in the regulation of credit derivatives activity.

Why it is important:

This course takes you through the mechanics of the most basic form of credit derivative trade and builds on this to describe a number of other credit derivatives.

The course outlines the typical applications of the different credit derivatives in the market, including single- and multi-name credit default swaps, the total rate of return swaps, credit-linked notes, and credit options. The associated risks, along with the pricing of these instruments and the legal/regulatory issues involved in their use, are also discussed.

What you will learn:

  1. Credit Derivatives.
  2. Collateralized Debt Obligations (CDOs).
  3. Credit Default Swap Indexes.
  4. Credit Valuation.
  5. Valuing Fixed and Variable Payments.
  6. Bootstrapping Default Probabilities from a CDS Curve.
  7. Upfront Amounts and Fixed Coupons.
  8. CDS Sensitivities and Hedging.
  9. Pricing Multi-Name Structures.
  10. European Debt Crisis.
  11. Collateral Damage: The AIG Nightmare.

Target audience:

Recruits to institutions with derivatives operations, risk managers, research staff, sales and marketing executives, operations and support staff looking to further their derivatives product knowledge, and compliance professionals.


  1. Credit Derivatives Buying and Selling Credit
  2. Credit Derivatives Market Development
  3. Credit Derivatives Basic Terminology
  4. Credit Derivatives Single-Name CDS
  5. Credit Derivatives Multi-Name CDS
  6. Collateralized Debt Obligations (CDOs)
  7. Credit Default Swap Indexes
  8. Credit Derivatives Index Products
  9. Credit Derivatives Total Return Swaps
  10. Credit Derivatives CLNs
  11. Credit Derivatives Credit Options
  12. Credit Valuation Default and Recovery
  13. Credit Valuation Fair Credit Spreads
  14. Credit Valuation Default and Survival Probabilities
  15. CDS Pricing 1 Valuing Fixed and Variable Payments
  16. CDS Pricing 2 Bootstrapping Default Probabilities from a CDS Curve
  17. CDS Pricing 3 Upfront Amounts and Fixed Coupons
  18. CDS Sensitivities and Hedging
  19. Pricing Multi-Name Structures
  20. Credit Derivatives Documentation ISDA and Credit Events
  21. Credit Derivatives Auction Settlement
  22. Credit Derivatives Clearing and Counterparty Risk
  23. Credit Derivatives Trading Streamlining the Process
  24. Credit Derivatives Trading Key Concepts
  25. Credit Derivatives Trading Basic Strategies (Part 1)
  26. Credit Derivatives Credit Option Strategies
  27. Credit Derivatives Trading Basic Strategies (Part 2)

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