Derivative instruments - Module 5 - Credit derivatives

Whoever has watched "The Wolf of Wall Street" has likely struggled to understand the jobs, products, jargon that surround financial markets. Some of us are still trying to get our way out of this financial jungle and clarify the associated strategies. Demystifying financial instruments is the key objective of the step-by-step programme we propose below.

This training curriculum is designed around 5 complementary building blocks:

• Derivative instruments – Module 1 - The essentials
• Derivative instruments – Module 2 - Forwards and futures
• Derivative instruments – Module 3 - Swaps
• Derivative instruments – Module 4 - Options
• Derivative instruments – Module 5 - Credit derivatives

Our modular approach allows each participant to select his/her entry point in the programme to best fit cumulated knowledge and experience on this wide topic.

By the end of this course, participants will be able to:

• define the general characteristics of swaps;
• gain an in-depth understanding of how swaps operate;
• list how swaps can best be used on the market:,be it in isolation or in combination with other instruments;
• understand the valuation method and what can impact swaps' quotation;
• identify major risks associated and determine controls that may mitigate them.

• Credit risk fundamentals:

What are the 2 components to be quantified as a credit risk measure?
The impact of credit risk on bond prices
Credit risk management
Credit derivatives: buying or selling protection
The importance of ISDA: event of default in the sense of the ISDA agreement
The credit derivatives market

• Credit default swaps "CDS":

Principle
CDS with recovery rate
CDS on a basket – the case of iTraxx
CDS packaged as a CLN (credit linked note)

• Total return swaps “TRS”:

The content of the session is illustrated by real, market examples. It is given in an attractive, understandable way, avoiding mathematical developments

This training will be coordinated by Samir Moussaoui, Director at PwC Luxembourg. The different modules will be animated by experts in derivatives.

Samir helps lead our AVS practice in managing and delivering a diverse range of alternative investments and assets valuation engagements, in the context of assurance and non-assurance services, to local and international clients and PwC offices. He has exposure to a wide range of valuation methodologies such as discounted cash flow models, trading and transaction multiple valuations, net asset value approach as well as milestone analyses, primarily in the context of financial reporting.

Samir is Chartered Financial Analyst (CFA) and Chartered Valuation Surveyor (MRICS).