Twicet

This two-day course considers the determination and behaviour of corporate credit spreads. By examining default risk and the pricing of corporate bonds, delegates will gain insight into the factors that drive credit spreads through the business cycle. The course will also provide an introduction to structured credit and credit derivatives. The course is designed for market professionals who want a better understanding of credit spread instruments and who want to explore the opportunities for investment in this asset class.

	Available for in-house delivery. Call +44 (0)1483 573150
	Duration: Two days (9.00am to 5.00pm)
	Location: In-house
	Trainer: Andrew Bevan
	Please contact us for a quotation

Day 1 – Default Risk and Corporate Bonds

Corporate Bond Quotations

+Recent behaviour of spreads in historical context
+How are corporate bonds quoted?
+Interest rate risk, funding risk, and default risk
+Hedging of interest rate risk
+Asset swap spreads and z-spreads

Default Risk

+Spreads and expected loss given default
+Factors determining default risk
+Factors determining recovery
+The work of the Ratings Agencies
+Ratings migration and default history
+Is High Yield a special case?

Spreads and the Business Cycle

+Modelling corporate bond spreads
+Corporate bonds and the option to default
+Equity, leverage and spreads
+Bond spreads and the business cycle
+Liquidity and idiosyncratic risk factors

Day 2 – Credit Derivatives and Structured Credit

Credit Default Swaps

+Credit default swaps – contract structure
+Pricing and trading of CDS
+Counterparty risk and CDS
+Introduction to CDS indices
+Spread forwards and options
+Total Return Swaps (TRS) and Credit-Linked Notes (CLN)

Structured Credit

+Securitisation – issuer and investor perspectives
+The structure of MBS/ABS
+Default protection mechanisms
+'Economic value' and market pricing
+Introduction to Collateralised Debt Obligations (CDO)

Credit Crunch: Lessons and Opportunities

+Evolution of the 'credit crunch'
+Securitisation and financial stability
+Support mechanisms for structured credit
+The future of securitisation
+Proposals for reform of CDS
+Credit spreads: outlook and opportunities