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Who should attend
- Quantitative analysts
- derivatives researchers and traders
- credit risk managers
- credit analysts and researchers.
About the course
Understand models for assessing the value and risk of portfolio credit default swaps, tranched credit index products and various types of collateralized debt obligations.
This course is a component of the Advanced Credit Risk Professional Certificate.
- Knowledge of credit modeling
- Intermediate MS Excel skills
- Elementary differential calculus
- Basic probability and statistics
MODULE 1: REVIEW OF FUNDAMENTALS
- Credit modeling frameworks
- Default dependence ('correlation')
- Copula functions
- Mechanics of credit default swap (CDS) contracts
MODULE 2: BASKET DEFAULT SWAPS
- Mechanics of basket trades
- First-to-default valuation and implied default correlation
- Higher order default valuation
MODULE 3: COLLATERALIZED DEBT OBLIGATIONS
- Mechanics of CDO trades: Cash-flow and synthetic structures
- Tranche valuation and implied default correlation
- Applying the large homogeneous portfolio (LHP) approximation
- Implementation of the Gaussian Copula
MODULE 1: CDS PORTFOLIO INDICES
- Mechanics of the standard indices
- Index valuation
- ABS, CMBS and Loan CDS Indices
MODULE 2: CDS INDEX TRANCHES
- Implied default correlation
- Compound correlation
- Base correlation
- Correlation skew
- Term structure effects
MODULE 3: CDO RISK MANAGEMENT
- Risks: Idiosyncratic vs systematic
- The LH+ model
- Tranche hedging
MODULE 4: PORTFOLIO CREDIT PRODUCTS AND TRADING STRATEGIES
- Constant proportional portfolio insurance (CPPI)
- Credit CPPI
- Constant proportion debt obligations (CPDO)
- Credit default swaptions
- Leveraged super-senior tranches
- Recovery swaps and locks
- Capital structure arbitrage
WHAT YOU'LL LEARN
- Develop a sound understanding of CDO structures
- Infer implied default correlation from basket default swap prices
- Calculate survival curves for CDO tranches
- Measure risk sensitivities of CDO tranches
- Learn how to build a variety of models to price portfolio credit risk
Because of COVID-19, many providers are cancelling or postponing in-person programs or providing online participation options.
We are happy to help you find a suitable online alternative.