A Trader’s guide to
Credit Derivatives
Objective: a
3-day comprehensive programme to illustrate when and how to
consider/structure credit derivatives in the real world to optimally
manage P&L, position keeping, and risk management issues, and:
·
To
understand how many traditional products have implicit embedded credit
derivatives
·
To
understand the issuer and buyer perspectives and economic drivers of
credit derivatives
·
Pricing
and hedging credit derivatives such as Total return swaps, Default
options, Default options on baskets of assets, Downgrade options,
Synthetic assets
Will learn to
answer questions like:
·
What
are the special features of credit as an underlying asset for a derivative
contract
·
How
to structure credit derivatives to optimise risk/ return profiles for both
issuer and purchaser including tax and regulatory optimisation
·
How
price and hedge credit derivatives
·
How
to structure credit derivatives including creating credit linked
securities
Audience:
market
professionals (some understanding of markets/ products helpful)
·
Traders,
Sales, Middle Office, Support Staff, Senior Management, Treasurers,
Risk
Management and Internal Audit from the “Sell-Side” and Fund Mangers,
Treasurers and Senior Management from the “Buy-Side”
1)
Introduction
to Credit Derivatives: covers economic need, uses, and markets for credit
derivatives
2)
Review of Traditional Credit Products:
credit risk as a component in traditional products such as bonds, loans
and derivative contracts. How to separate risk factors to factor the
pricing and risk of these products and to identify the embedded credit
derivatives.
3)
Valuation of Credit Derivatives Part 1:
pricing each of traditional IR products including a review of present
value theory, as well as the pricing of traditional securities and
derivatives, including curve building and related credit spread issues.
4)
Valuation of Credit Derivatives Part 2: review of the methods of obtaining and estimating the market parameters
necessary to price credit derivatives
5)
Valuation of Credit Derivatives Part 3: review of tools required for the valuation of contingent claims and
options including valuation under uncertainty, risk neutrality concepts
(and their usefulness), valuation of IR options and the special factors
affecting IR term options, as well as review of special valuation
consideration for credit options.
6)
Pricing and Application of Credit Derivatives:
description, consideration and valuation of common and not so common
credit derivatives including default swaps, total return swaps, credit
options, and synthetic/structured credit derivatives.
7)
Internal
and Operational Issues for Credit Derivatives: review of regulatory and
operational matters as applied to credit derivatives such as regulatory
requirements, reporting and capital requirements, control issues, and
documentation.
8)
Risk
Management of Credit Derivatives:
review of traditional and modern risk concepts and methods
(sensitivity, VaR and holding period) for assessing and controlling
exposure, with comprehensive consideration of specific methods of credit
risk assessment and their pros/cons such as CreditMetrics, KMV, and the
reality impact of liquidity and correlation issues to sensible risk
management.
830
Pages of
comprehensive and extensively illustrated Handout Notes (see samples
here)
Plus copies of relevant TG2 Books/e-Books
Note:
Seminars can be tailored to your trading, risk, client, and systems needs.
Submit your needs, and/or "cut/paste" from other Seminars (see entire "standard"
list HERE)
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