The class introduces students to credit markets and instruments. We will review LIBOR markets and examine the drivers of credit spreads and see how these are traded in he asset swap market.
Then we will look at credit default swaps (mechanics, uses, users) being the most commonly traded credit derivative. We will also cover credit-linked and asset backed (CLOs, CBOs, etc.) securities. We will look at his carious tranches are created and rated.
Students should already have an understanding of interest rate mathematics and relationships between interest rates and bonds prices. This can be gained from the Interest Rate Calculations and Bond Calculations classes in this series.
• Interest rate risk on floaters vs bonds
• Credit (spread) ‘delta’
• Asset swaps and asset swap margin
• Drivers of credit spreads
• Trading credit spreads
• Credit default swaps
• Asset-backed securities
WHO SHOULD TAKE THIS COURSE?
Cross-product audience as although its natural for the fixed income world to be interested, periodically the equities world rediscovers that credit can have a major impact on the value of equities
These courses are included in this module