Professional Training
4.9 (16 Reviews)

Credit Derivatives Masterclass

ACF Academy, In London (+2 locations)
2 days
1,825 GBP, 2,300 USD excl. VAT
Next course start
28 May, 2024 (+2 start dates)
Course delivery
2 days
1,825 GBP, 2,300 USD excl. VAT
Next course start
28 May, 2024 (+2 start dates)
Course delivery
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Course description

Credit Derivatives Masterclass

The credit derivatives market is one of the largest derivatives markets in the world, and is used as the benchmark for measuring the credit risk of companies and governments throughout the world.

This intensive two-day seminar explains exactly what credit derivatives are, and how they can successfully be used in practice by investors, asset managers, bankers, and hedge funds.

By the end of the seminar, participants will be right up to date on the latest developments.

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Upcoming start dates

Choose between 2 start dates

28 May, 2024

  • Classroom
  • London

12 June, 2024

  • Classroom
  • New York

Suitability - Who should attend?

Who Should Attend

Anyone working in credit, fixed income, or derivatives.


An understanding of bonds and the bond markets.

Outcome / Qualification etc.

CPD: 14 hours

Learning Outcomes

By attending this course, you will understand:

  • The various credit derivatives structures and products
  • Exactly how single-name Credit Default Swaps (CDS) work
  • Market practices including standardized premiums, determination committees, and auction settlement
  • How index products work in practice
  • How credit derivatives can be used in practice to manage and hedge credit risk
  • The way in which credit derivatives are priced using the ISDA CDS Standard Model
  • How credit derivatives add value for buyers and sellers
  • The workings of credit tranches and credit default swaptions
  • The regulatory implications of credit derivatives

Training Course Content

Introduction to Credit Derivatives

  • Principles and functions of credit derivatives
  • The credit derivatives market
  • Participants and their roles
  • Motivations for using credit derivatives
  • Growth of the market and recent trends
  • Types of credit derivatives

Credit Default Swaps and other Credit Derivatives

  • Introduction to CDS
  • Terms and definitions
  • Credit events
  • Settlement methods
  • Determination Committees
  • Market and trading conventions
  • Standardised premiums and recovery rates
  • Calculating up-front payments
  • Sovereign vs. other reference entities
  • Recovery locks and other recovery products
  • Central clearing, ICE Clear Credit and ICE Clear Europe
  • Swap Execution Facilities (SEFs)
  • Other recent changes and events
  • Auction settlement – how it works
  • ISDA and CSA agreements
  • Other single name products...
    • Asset swaps
    • Total return swaps
    • Credit spread products
    • Credit-linked notes (CLNs)

Using Credit Default Swaps

  • Who uses CDSs?
  • Managing credit risk exposure
  • Hedging default risk
  • Enhancing yield and generating income
  • Providing market access
  • Accessing diversified portfolios
  • Implementing directional credit views
  • Monetising relative credit views
  • 💻 Using credit default swaps
  • Arbitrage
  • Curve trades
  • 💻 CDS application ideas

Trading Simulation

💻 In this session, participants will use the Global Trader simulator to trade and manage a book of credit default swaps. The session will explore some of the dynamics of CDS prices, as well as the practical illustration of curve risk and the SDV01

Index Products

  • The CDX and iTraxx indices
  • Geographic and sector coverage
  • Index construction
  • Who uses indices?
  • Index trading applications
  • 💻 Index trading example
  • Other indices e.g. SovX, LCDX, and CMBX

Pricing Credit Default Swaps

  • An "intuitive" approach to CDS pricing
  • Credit risk and credit spreads
  • Term structure of credit spreads
  • Calculating CDS premiums
  • The ISDA CDS Standard Model
  • Bootstrapping default probabilities
  • Implied default and survival probabilities
  • Cumulative default rates
  • Recovery rates
  • Calculating up-front payments with standardised premiums
  • Marking-to-market
  • The SDV01 and PV01
  • 💻 Obtaining CDS premiums from default probabilities
  • 💻 Bootstrapping default probabilities from CDS premiums
  • The Bloomberg CDSW screen

Portfolio Credit Derivatives

  • The importance of correlation
  • Portfolio / basket credit derivatives
  • First-to-default swaps
  • 2nd-to-default and other variations
  • Collateralised Debt Obligations (CDOs)
  • CDO structures and the role of the SPE
  • Senior, mezzanine, and equity pieces
  • The "waterfall" of cash flows
  • 💻 Designing a CLO structure

Tranched CDX and iTraxx Trading

  • CDX and iTraxx tranches
  • Risk / return characteristics of each tranche
  • Characteristics of the equity piece
  • Characteristics of the mezzanine pieces
  • The impact of correlation
  • Tranche pricing methodology
  • The concept of delta
  • Creating tranched CDO structures
  • 💻 Using a tranched CDO structure

Credit Default Swaptions

  • Definitions and terminology
  • Size of market
  • Payers vs. receivers swaptions
  • Options on indexes vs. options on single names
  • What happens if a credit event occurs...
  • Knockout vs. non-knockout variations
  • Comparison with other options
  • Using Credit Default Swaptions
  • Cancellable and extendable CDS contracts

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Over 100,000 professionals trained globally

Award-winning practical financial simulations

Consistently high ratings

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Average rating 4.9

Based on 16 reviews.
Write a review!
08 Dec 2016
Credit Derivatives

A thoroughly informative and enjoyable course which I would strongly recommend.

13 Oct 2016
Credit Derivatives

a thoroughly informative and enjoyable course which I would strongly recommend

13 Oct 2016
Credit Derivatives

Participant's comment


  • London: £1,825 (plus VAT)
  • New York: $2,300
  • Virtual: £1,575 (plus VAT)

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