Overview

  • This course examines credit default swaps including key terminology, mechanics, payoffs, probability of default and premium.
    • Introduction to credit derivatives and CDS
    • Key terminology and mechanics of CDS
    • Payoff
    • Credit events
    • Settlement
    • Pricing
    • Probability of default and hazard rate
    • Expected loss
    • Upfront premium
    • Valuation after inception
    • Termination
    • Applications

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