Credit Derivatives Module
The Credit Derivatives Market has witnessed a continuous explosive growth since its inception in the mid-90s from an estimated $60 billions to more than $51 trillion today in notional amount. They are very popular for various reasons, yet with the deterioration of the US housing market,the subprime meltdown and a weak economy, the credit spread has drastically increased.The Credit Derivatives training program encompasses all aspects of this market, from Single Name CDS to Multiname CDX, Indices such as DJ iTraxx and DJ CDX to the pricing, trading and applied strategies.
Market Structure, Evolution and Growth of the Credit Derivatives Market
Motivation in using CDX; hedging, transferring risk, building synthetics, managing credit risk, investment, managing regulatory capital ratios
Understanding the main products; Single Name, Multiname and Indices such as DJ CDX and DJ iTraxx
Market Participants, banks, insurances, corporate, government, hedge funds, rating agencies, ISDA, Markit-Red, GFI, ICAP, Creditex, Q-WIXX, DTCC
Processing a trade; dealer. counterparty, negotiation, verification, confirmation
Risk in CDX; Credit Risk, Counterparty Risk, Market Risk, Operational Risk, Legal Risk
Distressed debt, default events, default probabilities, transition matrices, correlation and recovery rates
Definition, motivation, cash flow, fee, credit event, settlement and valuation on the following instruments
Asset Swaps, Credit Default Swaps, Total Return Swaps, Credit Spread Options, Credit Linked Notes, Synthetic CDO, Nth to Default, Single Tranche Synthetic CDO, CDO square
DJ CDX, DJ iTraxx, Sub-Indices by Industry/Region
CDS Valuation using the asset swap approach, funding cost arbitrage, default probability model using PD, Survival Probability, Recovery Rates and Loss Given Default, CDS Basis, CDS Sensitivities
CDS Investment Strategies, Long/Short, Basis Trade, Curve Trading, Correlation trading and others
Strategies for Multiname, Single and Multi-tranche CDX