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Credit Default Swaps (CDS) - Pricing, Applications & Features
 
Download brochure The CDS market has been growing rapidly since its introduction in the late 1990s, with the market estimated to be worth in excess of $593 trillion at the end of 2014. With a constantly changing market companies now find CDS to be a vital instrument in their daily activity. This two day programme begins by looking at CDS fundamentals, then moves on to analyse CDS transactions and examines pricing structures. The course explores different types of trades and explains the terminology employed within these transactions.


Attending the course will help you:
  • Discover the main CDS concepts and analyse the different ways in which a CDS can be valued and traded
  • Understand the single name CDS product
  • Consider CDS indices and various structured products into which a CDS can be packaged
  • Become familiar with index tranche investing terminology and application

Who should attend?

This course is ideal for anyone with an understanding of the fundamental concepts of finance and fixed income looking for an introduction to the CDS product. An understanding of bond pricing and market risk (i.e. duration / DV01) is assumed.


Programme Recognition

Candidates who complete the Credit Default Swaps (CDS) - Pricing, Applications & Features training programme qualify for 13 credit hours under the guidelines of the CFA Institute’s Continuing Education Programme.




Course Tutor


Neil Schofield is a visiting fellow at the University of Reading and is a freelance training consultant. From 2001 to 2008, he was global head of financial markets training at Barclays Capital in London. He was responsible for the design and delivery of a large number of seminars in a variety of different asset classes to many different audiences. Previous to that he was a director at Chisholm Roth training in London and has also held positions at Chase Manhattan Bank as well as Security Pacific Hoare Govett (now trading as Bank of America). Neil has over 20 years of experience in financial markets. In 2008, he published his first book “Commodity Derivatives” and his second text “Trading the Fixed Income, Inflation and Credit Markets” was published in 2011. He is currently co-authoring a book on Inflation and a book on Equity Derivatives due to be published in 2016.
Download brochureThe course content is divided into several topic areas, which are then broken down into multiple subtopics:

1. Credit Default Swap (CDS) Fundamentals
  • The CDS market
  • CDS structures and contractual terms

2. Analysing CDS Transactions

  • European and North American terms
  • Understanding credit events
  • Applying a framework to analyse CDS

3. Pricing CDS

  • Risky PV01
  • Risky DV01
  • Valuing CDS from asset swaps
  • Zero coupon pricing

4. Applications of Single Name CDS Transactions

  • The CDS basis
  • Switch trades
  • Curve trades

5. CDS Indices

  • CDS indices
  • Terminology
  • Hedging and trading applications

6. Credit-linked Notes

  • Credit-linked notes
  • Rationale for usage
  • Pricing concepts

7. CDS Swaptions

  • Terminology
  • Intuitive guide to pricing
  • Hedging and trading applications

8. Index Tranche Investing

  • Key terminology
  • Understanding default correlation
  • Trading applications




Details of the next seminarsICE Education

London
 
30-31 May 2017

  
ICE Education
5th Floor Milton Gate
60 Chiswell Street
London EC1Y 4SA
United Kingdom

Based at ICE Education London offices: IntercontinentalExchange® (NYSE: ICE), is a leading operator of regulated global futures exchanges, clearing houses and over-the-counter (OTC) markets.


Cost

2016: £1,250 for Members and £1,650 for non-members

2017: £1,400 for Members and £1,850 for non-members

Please note, candidates who register for a 2017 programme before Monday, 2nd January 2017 will pay the lower 2016 cost.


The course fee includes all lunches, coffee breaks and training materials.

Payment can be made by secure online credit card or by invoice.


Terms and conditions

Please click here to view our terms and conditions before registering.


Contact

Should you have any queries, please contact education@icmagroup.org.




 
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