Introduction to credit derivatives

Valuation of credit derivatives and structured products

Course objectives

  • Be able to explain the evolutions of the credit market

  • Understand the details behind recent credit events

  • Get a basic understanding on pricing parameters and modeling

Market Evolutions

  • The rationale for credit derivatives
  • Credit risk
  • Current environment

Asset Swaps

  • Purpose
  • How to build them
  • Asset swap spread and Z spread
  • Hedging an asset swap

Credit Default Swaps

  • Definitions and terms
  • ISDA term sheet
  • Understanding the credit event and auction process
  • Quoting, pricing and sensitivity of CDSs
  • Hedging and trading strategies with CDSs
  • Aribitraging the basis between CDS and cash bond
  • Introduction to CDS options
  • Credit Linked Notes


  • Definitions
  • Arbitrage and hedging strategies
  • Credit event impact
  • Pricing and quotations

Correlation and First Default Baskets

  • Definition and terms
  • Counterintuitive approach to correlation
  • Hedging an FTD
  • Securitisation
  • Principles and definitions
  • CDOs cash and synthetic
  • Sensitivities of CDOs
  • Hedging a CDO tranche with Itraxx

Oscar Relier

Oscar Relier

Oscar has worked in corporate finance and trading room for SBC Warburg, UBS and Deutsche Bank. He masters the mechanism, use and pricing of derivatives. Also trained in behavioral techniques, he designs and conducts training on public presentation and on the issues of communication and management.

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