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FINANCIAL MARKET COURSES

Credit Derivatives – Variations

This course explores the key relationship between different credit products, and introduces some of the lesser-known variations in the credit derivatives market.

  • OBJECTIVES

    On completion of this course, you will be able to:

    Categorize the different types of CDS product into simple and more complex variants

    Name the different types of CDS product based on portfolios of underlying names

    Identify the key characteristics of synthetic CDOs

  • COURSE OUTLINE

    Topic 1: Overview of CDS Variations

    Theoretically Identical Instruments

    Basis

    Basis: Influencing Factors

    Topic 2: Simple CDS Variations

    Simple Variations of CDS Structures

    Loan CDS (LCDS)

    Recovery Products

    o Fixed Recovery Swaps (Digital Default Swaps)

    o Recovery Locks

    o Recovery Swaps

    Constant Maturity CDS (CMCDS)

    CDS Options

    Topic 3: Portfolio Products

    Overview of Portfolio Products

    Average Baskets

    N-to-Default-Swaps

    Total Return Swaps

    Credit-Linked Notes

    Topic 4: Synthetic Collateralized debt Obligations (CDOs)

    Overview of CDOs

    CDO Cash Flow Waterfall

    Tranche Thickness

    Attachment & Detachment Structures

    o Funded Tranches

    o Unfunded Tranches

    Index Tranches

    Correlation

    Copulas

  • PREREQUISITE KNOWLEDGE

  • ESTIMATED COMPLETED TIME

    60 Minutes

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