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Risk Management Training Programs

Fundamentals of Credit Risk and Credit Derivatives

Gain a clear understanding of credit risk, how it is measured, and the associated derivative instruments: CDS, credit indices, and CDO tranches. The module also covers internal and regulatory approaches (IRB, stress tests) used to model and manage this risk within financial institutions.

IN-PERSON OR REMOTE CLASS

Duration

2 days

Additional activity

Remote

2,550 € VAT excluded

VAT exemption according to article 261-4-4° of the French Tax Code

Reference

FOCRD-255

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(*) As a training organization, Finance Tutoring benefits from a VAT exemption under Article 261-4-4° of the French General Tax Code (CGI).

Course Description

Fundamentals of Credit Risk and Derivatives

2-day intensive training (14 hours) - Theoretical approach and practical case studies

The Fundamentals of Credit Risk and Derivatives course provides comprehensive mastery of financial instruments for transferring and managing credit risk, with particular focus on CDS, CDOs and other structured credit products.


◉ Current Context

In response to evolving regulations and increasing complexity of credit markets, this course addresses essential professional needs in:

  • Active credit risk management
  • Mastery of risk transfer instruments
  • Analysis of structured credit products

Curriculum

1. Credit Markets

  • Credit derivatives ecosystem
  • Regulatory frameworks (ISDA, EMIR, Basel)
  • Credit risk measurement

2. Key Instruments

  • Credit Default Swaps (CDS)
  • CDS indices and CLNs
  • Total Return Swaps (TRS)

3. Structured Products

  • Collateralized Debt Obligations
  • N-to-Default Swaps
  • Pricing models and correlation

Learning Objectives

  • Understand credit derivatives ecosystem
  • Master CDS and credit indices
  • Analyze regulatory frameworks
  • Evaluate risk via spreads and CVA
  • Apply pricing models
  • Structure credit products
  • Use Excel for correlation analysis
  • Manage counterparty risk

Target Audience

Risk Managers
Credit Traders
Financial Analysts
Structurers
Treasurers
Regulators

◉ Available in-person and remotely ◉ Training materials provided ◉ Course certificate

Training Program

Fundamentals of Credit Risk and Derivatives

I. General Concepts

  • Definition and role of credit derivatives
  • Credit derivatives ecosystem: Hedgers, Investors, Traders, Arbitrageurs, Structurers
  • Challenges and role of credit derivatives regulation: ISDA, Dodd-Frank Act, EMIR and Basel

II. Estimating Credit Risk

  • Rating agencies and risk assessment
  • Risky vs. risk-free bonds
  • Z-spread and OIS spread
  • CVA (Credit Value Adjustment) approach
  • Asset swap spread

Practical Case:

Calculating CVA based on given default assumptions using Excel

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