Credit Default Swaps (CDS) - Pricing, Applications & Features
Credit default swaps (CDS), which first became prominent in the late 1990s, are the most efficient market-based means of mitigating credit risk to a specific entity. Rather than being a true ‘swap’, in the sense of an interest-rate swap, a CDS contract looks more like an insurance policy against a specific credit event. More precisely, a CDS pays out upon a pre-defined event of default suffered by an entity against which the CDS is written.

As a highly efficient means of managing credit risk, CDS are used by a range of market participants, including corporate bond market-makers, investors, hedge funds, loan book traders, and those managing banks’ counterparty credit exposures. As well as being an effective hedging instrument, CDS can be used as an alternative means of assuming credit risk, as well as creating trading opportunities with respect to other financial instruments, and so playing a vital role in price discovery in the corporate and sovereign bond markets.

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.

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Programme Recognition

Candidates who attend the Credit Default Swaps (CDS) - Pricing, Applications & Features programme and are CFA Charter Holders qualify for 13 credit hours which can be used towards study with the CFA Institute. CFA Institute members are encouraged to self-document their continuing professional development activities in their online CE tracker.

Course Trainer
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 course



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.

For security reasons, delegates who have not registered in advance will not be admitted to this course.  Delegates will be required to provide photo identification on arrival, to ensure entry.


£1,650 for Members and £1,950 for non-members

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.


Should you have any queries, please contact

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