Risk Management Training Programs

The Fundamentals of Interest Rate Risk and Its Derivatives

Réf: FOIRRD-225

The Fundamentals of Interest Rate Risk and Its Derivatives

PUBLIC TRAINING
IN-HOUSE TRAINING
TAILOR-MADE TRAINING

IN-PERSON OR REMOTE CLASS

Duration: 2 days

➕ Remote learning activity

2250,00 € VAT Exempt (*)

📌 Reference: FOIRRD-225


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(*) As a training organization, Finance Tutoring benefits from a VAT exemption under Article 261-4-4° of the French General Tax Code (CGI).

Course Description

Fundamentals of Credit Risk and Derivatives

Intensive 2-day training (14 hours) – Theoretical approach and practical case studies

The Fundamentals of Credit Risk and Derivatives course offers you a comprehensive understanding of the financial instruments used to transfer and manage credit risk, with a particular focus on CDS, CDOs, and other structured credit products.


◉ Current Context

In response to evolving regulations and the growing complexity of credit markets, this course addresses essential professional needs in:

  • Active credit risk management
  • Mastery of risk transfer instruments
  • Analysis of structured credit products

Learning Content

1. Credit Markets

  • Credit derivatives ecosystem
  • Regulatory frameworks (ISDA, EMIR, Basel)
  • Credit risk measurement

2. Key Instruments

  • Credit Default Swaps (CDS)
  • CDS indices and CLNs
  • Total Return Swaps (TRS)

3. Structured Products

  • Collateralized Debt Obligations
  • N-to-Default Swaps
  • Pricing models and correlation

Course Objectives

  • Understand the credit derivatives ecosystem
  • Master CDS and credit indices
  • Analyze regulatory frameworks
  • Assess risk using spreads and CVA
  • Apply pricing models
  • Structure credit products
  • Use Excel for correlation analysis
  • Manage counterparty risk

Target Audience

Risk Managers
Credit Traders
Financial Analysts
Structurers
Treasurers
Regulators

◉ Available both in-person and online ◉ Training materials provided ◉ Certificate of completion

Training Program

I. Interest Rate Risk

  • Definition
  • Challenges
  • Key Market Participants

II. Swaps

  • Overview
  • Market and Participants
  • Recent Regulatory Developments
  • Principles and Structure

Case Study:

Analysis of the different uses and benefits of a swap

III. The Interest Rate Swap Curve

  • Zero-coupon curve
  • Forward rate curve
  • Construction of the yield curve: the Bootstrapping method

Case Study:

Calculating forward rates from the zero-coupon curve

IV. Pricing and Valuation of a Swap

  • Difference between pricing and valuation
  • The principle of no-arbitrage opportunity

Case Study:

Pricing and valuation of an interest rate and currency swap

V. Futures, Forwards, and Options

  • Futures and forward contracts
  • Uses
  • Pricing of a future and a forward contract

Case Study:

Examples of futures/forward contract applications

VI. Options

  • Definition, role, and use
  • The Greeks
  • Option pricing: binomial tree, Black-Scholes, Monte Carlo simulation

Case Study:

Example of hedging with an option

VII. Swaptions

  • Definition of a swaption
  • Role
  • Use

Case Study:

Example of hedging with a swaption

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