Introduction to credit derivatives
Valuation of credit derivatives and structured products
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
Itraxx
- 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
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
Itraxx
- 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 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.
Oscar Relier also teaches :
- Analyse comportementale des marchés (Catalogue Marchés financiers)
- Associate PRM® (Catalogue Certifications)
- Comprendre les marchés financiers (Catalogue Marchés financiers)
- Dérivés de crédit 1 : mécanismes et utilisations (Catalogue Marchés financiers)
- Fundamentals of financial markets (Catalogue English)
- Intermediate financial derivatives (Catalogue English)
- Introduction aux FinTech : la finance disruptée (Catalogue Finance d'entreprise)
- Investir dans les entreprises non cotées : un enjeu pour la gestion d’actifs (Catalogue Marchés financiers)
- L’essentiel des marchés financiers (Catalogue Marchés financiers)
- Les Cryptomonnaies et les ICO (Catalogue Marchés financiers)
- Les produits dérivés de taux (Catalogue Marchés financiers)
- Manager ses collaborateurs (Catalogue Marchés financiers)
- PRM® – Professional Risk Manager (Catalogue Certifications)
- Produits dérivés 2 : dérivés complexes (Catalogue Marchés financiers)
- Produits structurés et dérivés en gestion (Catalogue Marchés financiers)
- Public Speaking and Presentation Skills (Catalogue English)
- S’exprimer en public (Catalogue Marchés financiers)
- Sales techniques (Catalogue English)
- Structured products in Asset Management (Catalogue English)
- Techniques commerciales avancées (Catalogue Marchés financiers)
- Use of Derivatives in Asset Management (Catalogue English)
- Variance, swaps and volatility (Catalogue English)