Credit Derivatives


To explain the essential aspects of this product to not just market participants but also to the larger audience in general. This workshop would focus on the basics of credit derivatives, its applications, risks and benefits. The treatment of the subject in the workshop would be kept intuitive and largely non-quantitative to appeal to the broad-based audience for whom credit derivatives would be of interest.

First Session
1. Credit Derivatives Overview
  • What’s credit risk
  • What’s a credit derivative
  • The Need for Credit Derivatives
  • Market Description: Participants
  • Market Description: Geography
  • Present Constraints and the Future

  • 2. Credit Default Swaps
  • Introduction to CDS
  • CDS Mechanics
  • CDS identification: specifications to be provided
  • The economics of a CDS
  • Differences from Asset Swaps – Points Upfront CDS

  • 3. Valuation of Credit Default Swaps
  • Overview of challenges facing valuation of credit derivatives
  • Valuation of CDS
  • Modeling Default Probabilities
  • Conceptualizing CDS MTM
  • Risky Cash Flows
  • Determining Recovery Rates
  • Risky duration approach to MTM
  • An Example of Unwinding Credit Default Swaps
  • A Note on MTM Differences Between Bonds and Default Swaps

  • Second Session
    1. Indices & Basket Products
  • Linear Basket
  • Market towards greater standardization: CDS Indices
  • Mechanics of the indices
  • Theoretical value calculation
  • Comparing the CDS index to cash bonds
  • Notes versus swaps
  • First-To-Default Basket (FTDB)
  • Basket Pricing
  • Sensitivity of Basket trades
  • Basket Swap Strategies

  • 2. CDO
  • Equity Tranche
  • Mezzanine Tranche
  • Ratings of CDOs
  • Correlation Trading

  • Third Session
    1. CDS Structural Roadmap
  • Basic Mechanics under ISDA Definitions
  • Physical Settlement of CDS
  • Asian &opean Market Practice
  • Reference Entity
  • Credit Events
  • Protection Period
  • Reference Obligation
  • Deliverable Obligations

  • Fourth Session
    1. Hedge Accounting

    2. Overview of Documentation & Regulatory Issues in Credit Derivatives
  • Banking Book
  • Trading Book
  • Basel II and Credit Derivatives
  • Bank capital & Credit Derivatives

  • Commercial banks
  • Non-banking financial companies
  • Primary dealers
  • Insurance companies
  • Mutual funds
  • Researcher
  • Consultant
  • 1 Day
    10.00 am to 5.30 pm

    Rs. 4,500.00 + Applicable Taxes per participant inclusive of tuition fees, reference material and (morning / evening) refreshments only.

    For further details regarding contents,