Introduction to Credit Default Swaps
March 26, 2012, NYC June 6, 2012, NYC
Registration Fee: US$995.00 Register Location Instructor
Many classes sell out; we suggest registering at least one week in advance to ensure availability.
Beginner/Intermediate Level, 7 CPE Credits
Instructor: Charles Gates
Hours: 9:00 am - 5:00 pm; Registration/Breakfast begins at 8:30 am
Objectives:
By the end of the course, the participant will be able to:
- Describe the features and characteristics of Credit Default Swaps (CDS)
- Apply credit default swaps
- Explain the fundamentals of pricing and risk measures
- Identify the risks associated with credit default swaps
- Analyze credit indices
Session 1: Credit Default Swaps – The Basics
By the end of this session, the course participant will be able to:
- Describe the features and characteristics of CDS
- Explain CDS contractual terms
- Examine an example using Bloomberg’s CDSW screen
- Identify and explain the different risks associated with CDS
- Discuss recent changes in the market
- Big Bang
- Dodd Frank
- Clearing
Session 2: Pricing and Risk Measures for Single Name Credit Default Swaps
By the end of this session, the course participant will be able to:
- Describe the basics of pricing CDS via asset swaps
- Explain and analyze fundamental pricing/modeling
- Compare and contrast spread DV01 and IR DV01
Session 3: Basic Applications
By the end of this session, the course participant will be able to:
- Evaluate CDS trading and investment strategies
- Hedging a single name credit
- Asset replication
- Curve trades (DV01 neutral)
- Long/short (switch trades)
- Forward trades
- Basis trades
Session 4: Credit Indices
By the end of this session, the course participant will be able to:
- Discuss the features and characteristics of credit indices
o CDX and iTraxx
- Apply credit indices
o Hedging
o Trading
o Investing
- Describe and analyze the risks associated with CDS indices
- Discuss correlation trading