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Credit Derivatives and Hedge Funds
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2-Day Intensive Training Workshop
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DATES & LOCATIONS
FOR THIS 2-DAY EVENT
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Dec 3
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London
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COURSE OVERVIEW
This course is aimed at prime brokerage staff, hedge funds and fund of funds, institutional investors and others wishing to gain a thorough understanding of credit derivatives as they are used by hedge funds. Packed with exercises and case studies, the course will test knowledge on a continuous basis by use of realistic scenarios.
WHAT YOU WILL LEARN
Hedge Fund Use of Credit Derivatives: Overview
Total Rate of Return Swaps
Exercise: Total Return Swaps
Delegates will assume the role of a hedge fund using a TROR swap to access the Philippine loan market.
Asset Swaps: Precurors of Credit Default Swaps
Credit Default Swaps
Case Study: Credit Default Swaps
Delegates will be asked to price a default swap by means of the replication pricing approach using an asset swap, then to hedge a given reference bond that is swapped (asset swap). Then to explain what happens if default occurs in the reference asset, or if the bond spread simply widens or narrows.
Default Swaps in Emergine Market Strategies
Default Swaps With Distressed Securities
Credit-Linked Notes
Exercise: Delegates argue the case for investing in a CLN, explaining the structure to their boss (played by the course director) who will challenge their decision.
Collateralized Debt Obligations
Exercise: CDOs
Delegates will be given a number of reference assets and credit derivative instruments and asked to put the pieces and numbers together to form a complete CDO structure.
CDs in Convertible Bond Arbitrage
Capital Structure Arbitrage
Fixed Income Strategy Using CDs
Exercise: Hedging a bond portfolio using the best strategy and instrument given market scenarios.
Summary Case Study
Delegates will pair off representing hedge funds while course director represents their bank sales/trader counterparty.
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