Derivative instruments - Step by step - Module 5 - Credit derivatives

Whoever watched "The wolf of Wall Street" has struggled to understand the jobs, products, jargon that surround the financial markets. Some of us are still trying to get their way out of this financial jungle and clarify the associated strategies. Demystifying financial instruments is the key objective of the step by step programme we propose below.

This training curriculum is designed around 8 complementary building blocks:

Derivative instruments – Step by step - Module 1 - The essentials
Derivative instruments – Step by step - Module 2 - Forwards and futures
Derivative instruments – Step by step - Module 3 - Swaps
Derivative instruments – Step by step - Module 4 - Options
Derivative instruments – Step by step - Module 5 - Credit derivatives
Derivative instruments – Step by step - Module 6 - Securitisation vehicles (under development)
Derivative instruments – Step by step - Module 7 - Structured products (under development)
Derivative instruments – Step by step - Module 8 - Valuation of derivatives - Principles

Our modular approach allows each participant to select his/her entry point in the programme to best fit cumulated knowledge and experience on this wide topic.

Objectives:

By the end of this course, participants will be able to:

• define the general characteristics of each instrument
• gain in-depth understanding of how the instrument operates
• list how it can best be used on the market – be it in single or in combination with other instruments
• understand the valuation method and what can impact the value of it
• identify major risks associated and determine controls that may mitigate them

• Credit risk fundamentals:

What are the 2 components to be quantified as a credit risk measure?
The impact of credit risk on bond prices
Credit risk management
Credit derivatives: buying or selling protection
The importance of ISDA: event of default in the sense of the ISDA agreement
The credit derivatives market

• Credit default swaps "CDS":

Principle
CDS with recovery rate
CDS on a basket – the case of iTraxx
CDS packaged as a CLN (credit linked note)

• Total return swaps “TRS”:

The content of the session is illustrated by real, market examples. It is given in an attractive, understandable way, avoiding mathematical developments

This training will be coordinated by Frédéric Botteman, Partner, PwC Luxembourg. The different modules will be animated by experts in derivatives.
Frédéric, Audit Partner, is specialised in the valuation of derivatives and illiquid securities. Thanks to this, he has gained a high expertise in the audit of guaranteed funds.

Frédéric has developed a strong fund audit experience and is also involved in the expert team in the area of circular CSSF 2002/77 requirements and is instructor in several courses linked to this topic and to derivatives.
Frédéric is also leading several SRI reporting for major IM players.