Credit Default Swaps - Features, Pricing and Applications

ICE Education
Course summary
2 days
1,850 GBP excl. VAT
Next available date: Enquire for more information - London
Professional Training

Course description

Credit Default Swaps - Features, Pricing and Applications

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.

This course is provided through a partnership between ICE Education and the International Capital Markets Association (ICMA) Executive Education.

Suitability - Who should attend?

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.

Training Course Content

Session 1

Credit Default Swap fundamentals

  • The CDS market
  • CDS structures and contractual terms

Session 2

Analysing CDS transactions

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

Session 3

Pricing CDS

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

Session 4

Applications of single name CDS transactions

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

Session 5

CDS indices

  • CDS indices
  • Terminology
  • Hedging and trading applications

Session 6

Credit-linked notes

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

Session 7

CDS swaptions

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

Session 8

Index tranche investing

  • Key terminology
  • Understanding default correlation
  • Trading applications

About provider

Intercontinental Exchange - Open Courses in Commodities and Financial Markets

Intercontinental Exchange's diverse markets span futures and options on interest rates, commodities, indexes and FX, as well as equities and equity options. These markets are relied upon by international market participants, along with our post-trade infrastructure. ICE is uniquely positioned...

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ICE Education

5th Floor, Milton Gate, Chiswell Street
EC1Y 4SA London

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