Swaps (Part 2): credit derivatives - Foundation

Anyone who wants to reach a sound understanding of the credit swaps products used by investment managers.

Whoever has watched "The Wolf of Wall Street" has likely struggled to understand the jobs, products, jargon that surround financial markets. Some of us are still trying to get our way out of this financial jungle and clarify the associated strategies. Let's demystify these!

In close collaboration with PwC's subject matter experts, PwC Academy has developed a comprehensive, multi-layered training curriculum for junior and more experienced financial industries’ employees and managers alike, who seek to gain a solid knowledge of derivative instruments.

With the 'Swaps: credit derivatives (Foundation)' module, participants will dive into the characteristics and associated risks, market use, and valuation of credit derivatives (CDS, TRS, EDS).

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

• define the general characteristics of swaps;
• gain an in-depth understanding of how swaps operate;
• list how swaps can best be used on the market, be it in isolation or in combination with other instruments;
• understand the valuation method and what can impact swaps' quotation;
• 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”
• Equity default swaps “EDS”.

This course content is presented in an attractive and understandable manner: it is illustrated with numerous real market examples. The course aims to provide a clear and thorough understanding of the considered instrument, with core mathematical concepts introduced when addressing pricing.

This training is coordinated by Samir Moussaoui, Director at PwC Luxembourg.

The different modules will be animated by experts in derivatives.

Samir Moussaoui is a director within the Valuation Services (VS) team, specialising in traditional and alternative investment funds with a focus on private business valuations and modeling. He possesses extensive expertise in valuation processes, techniques, market practices, and auditing skills. Samir leads the VS practice in managing diverse financial valuation engagements for local and international clients and PwC offices. He is a Chartered Financial Analyst (CFA) and Chartered Valuation Surveyor (MRICS), serves on the board of the Luxembourg Valuation Professionals Association, and actively contributes as a training instructor and member of PwC’s Transformation group.