Structured credit

Products, embedded value and underlying risks

Course objectives

  • Review the building blocks for structured credit

  • Demystify some of the complexity that surrounds the structured credit discipline

  • Capture its added value

  • Gain some intuition in the behavior of leading structures

A glance through the structured credit market

  • Essence of the structured credit market
  • Main players
  • Is there value in structured credit?
  • Structured credit products

Building blocks

  • Single-name Credit Default Swaps
  • CDS indices
  • First to Default swaps

Case Study: Hedging a FTD

Structured products

  • Static Synthetic CDO
  • Introducing credit tranches
  • Standard tranches on credit indices

Case Study: Correlation trades

Issuing and risk managing synthetic CDOs

  • What is a Bespoke?
  • CDO greeks

Case Study: Issuing a synthetic CDO

Some dynamic structures

• Constant Proportion Debt Obligation (CPDO) • Constant Proportion Portfolio Insurance (CPPI) • Few Thoughts about Structured Credit Ratings

Case Study: How to sell during crisis times

Zouheir Ben Tamarout

Zouheir Ben Tamarout

Zouheir has over 18 years of experience within the activities of arbitrage for own account, trading of exotics, structuring for third parties and quantitative research in alternative investments. Zouheir is currently an independent consultant in quantitative finance, alternative strategies and algorithmic trading.

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