Credit Default Swaps (CDS) - 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.

Course Information

Price £1,850 + VAT
Duration 2 days
Location London
Available Dates

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.

Booking Information

Tel: +44 (0) 20 7065 7706

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