New York: Module 5C

(1.5 Credits)

This session provides an overview of credit derivatives: 1. Definitions of credit default swaps (CDS), total return swaps, basket swaps, credit link notes, credit spread options, and collateralized debt obligations (CDO) 2. Introduction to the pricing and hedging of credit instruments 3. Hazard, recovery rates and correlation across underlying credits 4. The intuition behind the pricing and hedging of tranches of CDO structures with examples 5. The effect of credit derivatives trading on the underlying firms 6. Sovereign and index CDS contracts