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
IN-PERSON OR REMOTE CLASS
Duration: 2 days
➕ Remote learning activity
2250,00 € VAT Exempt (*)
📌 Reference: FOIRRD-225
(*) 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
◉ 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