The purpose of this seminar is to give you a good understanding of the mechanics, pricing, risk analysis and applications of credit derivatives and structured credit products.

We start with a brief introduction to credit derivatives and an overview of the market for these instruments.

We then look in detail into the different types of credit derivatives: Credit default swaps, dynamic credit default swaps, total return swaps, equity default swaps, and credit spread forwards and basket credit derivates (including "first-to-default", "second-to-default" and "nth-to-default" swaps).

In each case, we give an in-depth explanation of the definitions, mechanics, pay-out triggers, pay-out calculations, settlement methods and pricing. Through practical examples and exercises, participants will gain "hands-on" experience with the pricing of the various structures, using a range of alternative pricing models, including Merton-style option models, default intensity models, copula models, and Monte Carlo simulation.

We also demonstrate, using practical case studies, how various types of credit derivatives are used to hedge the credit risk of loans, bonds, loan portfolios and dynamic credit exposures.

Finally, we look at how credit default swaps and other credit derivatives are used as building blocks in creating structured and leveraged credit products such as credit linked notes, synthetic CDO's, "bespoke", single-tranche CDO's, and hybrid CDO's. We also look at some of the newest structures such as Leveraged Super-Senior transactions (LSS) and Constant Proportion Debt Obligations (CPDO's). We carefully explain how these products are constructed and priced under different assumptions about default intensities and default correlations, and we discuss their special risk characteristics. We also give examples of how these products are used for "basis trading" and "correlation trading".