Advanced Credit Default Swaps (CDS)

In-person teaching Classroom
Exclusive online content Webinar

This course provides a deeper examination of Credit Default Swaps (CDS) for participants who are already familiar with their benefits and features.

It starts by looking at the mathematics behind their pricing and the factors that will affect this. Participants will consider the default probability, the net present value of the cashflows, and the use of bootstrapping in calculating the value of these.

The course introduces the constant hazard rate model and survival probability and then goes on to explain the relative value of CDS and how this can be used to make trades.

Finally, the course discusses the correlation of different assets, the factors affecting this and how this can be used in practice.

Suitability

This course is for individuals with a working knowledge of credit markets and CDS.

Learning Outcomes

At the end of this course delegates should understand

  • The complexities of calculating default probabilities and CDS pricing
  • The Constant Hazard Rate model
  • CDS relative value and correlation trading

Course Content

Default Probabilities

  • Simple pricing model
  • Expected present value
  • CDS pricing with default probabilities
  • CDS pricing with term structure
  • Bootstrapping default probabilities

Constant Hazard Rate Model

  • Survival probability
  • CDS spread with constant hazard rate

Relative Value

  • Curve shape and correlation
  • CDS curve trades
  • CDS index tranches
  • Spread sensitivity

Trading Correlation

  • An intuitive explanation
  • Tranche sensitivity to correlation
  • Modelling correlated defaults
  • Gaussian copula
  • Implied correlation

100%

of our clients would recommend Alpha to a colleague or peer

90%

of a cohort was promoted within 2 years after participating in an Alpha course.

96%

of participants felt more confident in their role, following an Alpha commercial leadership course.

Why study with Alpha?

Innovation and creativity born from experience

We are thought leaders in instructional and learning journey design and holistic solution architects. We have extensive finance and investments experience combined with skills application to deliver performance improving results. We develop immersive learning environments that maximize time to productivity, support talent retention and added value to improving quality of hires.

Knowledge Exchange Evangelists

We are focused on mining the embedded organisational intellectual capital for the benefit of the next generation. We create and curate best in class practice gathered from our experience with the leading financial institutions. We design our programmes with the end in mind – what results are you trying to achieve with this intervention? What metrics will we set ourselves to achieve that?

Generation Proof

Quality and innovation, using current market and industry best practices, have made us a trusted partner in delivering dynamic and motivating training for the financial and capital markets. Our programmes are generation proof and responsive to evolving learner needs and styles. Our solutions use a multi-stakeholder engagement strategy that expands beyond relationships between the learner and learning provider. We create connections with managers, peers and the wider business to drive impactful return on investment..

Enquire now

"*" indicates required fields

This form collects your contact information so that we can correspond with you.
Check out our privacy policy for more information about how we protect and manage your data.
This field is for validation purposes and should be left unchanged.
The team are so friendly and pleasant to work with, everyone is very professional and keen to help us. Building a relationship over the past couple of years helps us to feel like the Alpha team are even more able to understand our needs and provide more proactive solutions.
Find out more about our in-house training courses