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Credit Default Swaps (CDS) - Features, Pricing and Applications    
 
   

 

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Objectives


This course is primarily designed to increase the awareness of the credit default swap (CDS) product. It introduces the main CDS concepts and analyses the different ways in which the product can be applied.
 

 

Target Audience


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

 

Length and Structure of the Course


The course consists of two days of lectures and case studies.  Each day consists of four 90 minute session with coffee breaks in the morning and afternoon and a lunch break in the middle.  There is no exam for this course but candidates will get a certificate of attendance.
 

 

Course Tutor


Neil Schofield

Neil 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 2007, he published his first book “Commodity Derivatives” and is currently in
the process of writing a second “Relative Value in Financial Markets”.
 

 

Course Outline
 

Session 1 Contents 

Credit Default Swap fundamentals

 • The CDS market
• CDS structures and contractual terms
 


Session 2 Contents 
Analysing CDS transactions • European and North American terms
• Understanding credit events
• Applying a framework to analyse CDS


Session 3 Contents 

Pricing CDS

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

Session 4 Contents 

Applications of single name CDS transactions

• The CDS basis
• Switch trades
• Curve trades
• Forward trades
• Capital structure trades
• Butterfly trades

Session 5 Contents
CDS indices

• CDS indices
• Terminology
• Hedging and trading applications

Session 6 Contents
Credit – linked notes

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

Session 7 Contents
CDS swaptions

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

Session 8 Contents
Index tranche investing

• Key terminology
• Understanding default correlation
• Trading applications

 
 

Details of the next seminar

ICE Education
London, have a look at the venue
18-19 June 2012

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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. ICE's diverse markets offer contracts based on crude oil and refined products, natural gas, power and emissions, agricultural commodities including canola, cocoa, coffee, cotton, orange juice and sugar, as well as credit derivatives, foreign exchange and Russell Index futures and options.

 
 
 

Cost
 

The cost of the course is £1,000.00 for both ICMA Members and £1,300.00 for non-members with the following discount scale being offered:
2-4 candidates – 5% discount each*
5+ candidates – 10% discount each*
*Please note that discounts are applied by way of a refund to the organisation when registration has closed and the final number of candidates from the firm has been determined

Payment can be made by secure online credit card or by invoice.  Please note that the BACS invoice method has an additional £50 admin fee.

 
 

For more information


This course is also available on a group booking basis. 
Should you have any queries about this seminar please contact David Senior on
+44 (0)20 7213 0329 or e-mail: education@icmagroup.org

 
 

CFA Institute CE Approved Provider


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