Credit Derivatives and Credit Risk

Financial services professionals, consultants, and sales professionals interested in providing or selling products and services to banks, investment companies, and other financial corporations, and everyone interested in creation and use of credit derivative instruments

Please contact us for information about prerequisites.

Expected Duration
60 minutes

Credit derivatives have gained increased attention over the past decade primarily due to the need for major financial institutions to transfer credit risk off their books. These financial contracts are also widely used by speculators to profit from potential credit events. It has become imperative for major financial institutions to recognize the need to measure credit risk using traditional and contemporary models. Credit risk measurements allow the financial institutions to determine what type of credit derivatives to use and how to price them. It is important for analysts to distinguish between the different types of credit derivatives such as Credit Default Swaps, Total Return Swaps, Credit Linked Notes, Synthetic Collateralized Debt Obligations, and others. In addition to this, analysts must have a good understanding of the types of credit risk models that exist.
This course gives an overview of credit risk and how credit derivatives assist in transferring credit risk to other parties. It briefly covers major types of credit derivatives including credit default swaps, total return swaps, spread and bond options, credit-linked notes, principal-protected structures, repackaging vehicles, and synthetic CDOs. The course introduces various credit risk models and gives an overview of the Altman’s Z-score model and neural networks.


Credit and Market Risk

  • describe the three basic components to assessing credit risk
  • identify the relationship between market risk and credit risk
  • describe components of credit risk and its relationship with market risk

Credit Derivatives & Risk Models

  • describe the main benefits of credit derivatives
  • describe credit risk model techniques
  • describe credit derivatives benefits and credit risk model techniques

Altman’s Z-Score and Neural Networks

  • identify Altman’s Z-score model’s five components
  • describe neural networks
  • identify Altman’s Z-score model’s five components and describe neural networks





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