UPCOMING TRAINING PROGRAMS

ACI Dealing Certificate Training
Training Category: Banking and Finance
March 31 - April 3, 2012 / Riyadh, Saudi Arabia

ACI Operations
Training Category: Banking and Finance
April 4 - 5, 2012 / Riyadh, Saudi Arabia

ACI Dealing Certificate Training
Training Category: Banking and Finance
April 28 - May 1st, 2012, Dubai

ACI Operations
Training Category: Banking and Finance
May 2 - 3, 2012 / Dubai

ACI Diploma Training
Training Category: Banking and Finance
May 6 - 10, 2012 / Dubai, UAE

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This seminar program provides participants with a comprehensive examination of credit derivative instruments - key products, structures and mechanics - and their role in hedging, credit trading strategies and credit portfolio management. Particular focus is placed on applications within the capital markets i.e. the application of credit derivatives in the synthetic re-structuring of credit risk behavior, for hedging, trading and arbitrage exploitation purposes.

Day 1

The Credit Derivatives Market

• Market overview
  
• Evolution and market development
  
• Recent developments and key issues
  
• Terminology and nomenclature
  
• Market participants
• Credit Indices ( iTRAXX)

Asset Swaps

• Mechanics of pricing and structuring asset swaps
• Asset swapping illiquid and structured securities (Convertibles)
• Asset swaps and the interrelationship between swap and bond markets
• Benefits of asset swaps in credit portfolio management
• Asset swap spreads in relative value analysis, credit derivative pricing
  

Case study

Structuring asset swap packages; determining credit spreads

Credit Derivatives: Default Swaps (CDS)

• Definitions and nomenclature
• Credit events – Definitions
• Documentation (ISDA credit default swap master agreement)
• Single asset and basket structures, ABS CDS, LCDS
• Settlement mechanisms
  
  •  REDs and CLIPs
  
  •  DTCC, Swapswire clearing and settlement mechanisms
  
  
• Credit indices (iTRAXX)
  
         • ITRAXX index CDS
  
         • Standardised contract terms
  
         • Transaction and settlement mechanics
  
  
  
  Uses and Benefits of Credit Derivatives

• Credit (portfolio) risk management
  
• Using credit derivatives to manage and securitise credit risk
  
• Regulatory capital management
  
• Credit risk diversification, risk reduction
  
• Investment applications (Synthetic asset generation)
  
• Leverage (unfunded exposures)
  
• Yield enhancement (exploiting of credit arbitrages)
  
• Market access (synthetic loan generation)
  
• Credit trading
  
  
  
  Pricing and Valuation of Credit Derivatives
• omponents of credit modelling
• Estimation of default probabilities
• Credit migration; Transition matrices
• Correlation effects; Joint transition matrices
• Building a default probability curve
• Estimation of recovery rates
• Bootstrapping a CDS curve
• Assumptions and shortcomings in modelling approaches
• Arbitrage based approaches (Asset swap pricing)
• Understanding the relationship between CDS premia and asset swap spreads (ASW)
• Impact of repo rates on CDS pricing
• Determinants of the (Asset swap - CDS) basis
  
  
  

Case study

Constructing a default probability function; pricing and valuation credit default swaps

Documentation, Legal and Regulatory Issues

• Master agreement and definitions; confirmations
• Defining credit events
• Current status of restructuring credit event
• Buy-in procedure for cash settlement mechanisms
• Termination, assignment by novation
• Industry protocol on assignment of contracts
• Netting agreements; Legal enforceability of netting arrangements
• Regulatory capital treatment of credit derivatives
• Buyer and seller perspectives
  

On completition of the course you will receive a certificate from ASTC Dubai.

Please click on the sample certificate below :::

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