Introduction to the credit derivatives market

• What is credit risk?
• What are credit derivatives and what do they allow?
• Market overview – market size, growth, key players

Credit market jargon and terminology

• How do we measure credit risk?
• Ratings, agencies, default and recovery rates
• Cohorts and transition matrices
• Credit spreads
• Default risk, spread risk and downgrade risk

Overview of key credit derivative products

• Market breakdown by product
• Credit forwards – description and uses
• Credit swaps (credit default swaps and total return swaps) – description and uses
• Credit options – description and uses
• Credit linked notes – description and uses

Other issues in credit derivatives

• Using credit derivatives to create synthetic positions
• The use of credit derivatives in CDO structures
• Documentation issues and market regulation
• Pricing credit derivatives – an overview and example