Description

Understand credit derivatives by exploring the key features and mechanics of single name and index credit default swaps (CDS). Learn key terminology, conventions, and pricing elements of single name CDS, including par spreads, upfront payments, and credit events.

Learning Objectives

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1. Recall key terminology, conventions, and pricing elements of single name CDS, including par spreads, upfront payments, and credit events.
2. Recall the definition of the CDS basis and the reasons behind positive or negative basis.
3. Recall the function of index CDS, focusing on the ITraxx and CDX families, index rolls, and settlement mechanics.
4. Determine how CDS valuation instruments are used in credit risk management.