_Credit risk trading – a future source of income
_The spread book – professionally structured and managed
_How to invest in liquid credit risks_Story
In a 3-day simulation teams manage a credit spread trading book taking into account the spread risk. The team that achieves the best results while moving skilfully between "legacy baggage" and ever changing markets wins.
_Learning for the real world
Recognising interfaces and pitfalls when setting up a spread book
- Allocation of credit risk management tasks from the organisational and profit points of view
- Finance Trainer steps to credit risk management
- Tasks of Central Credit Risk Management and of the Credit, Capital Market and Treasury divisions
- Impact of Basel II on credit risk management
The implicit PD is the equivalent of the implicit vola in options trading
- The credit triangle: valuation of the credit trading book, relationship between spread, PD and recovery rate
- Impact on performance and risk measurements
- Synthetic credit spreads, asset swaps and determining credit spreads
The basis and its impact on strategies
- Impact on securities and credit derivatives trading strategies
- Credit derivatives and their leverages
- Credit default swaps
- Credit risk measurement and pricing of credit derivatives
- Arbitrage strategies, basic risks, examples for application
- Reasons for diverging spreads between cash and derivatives
Adequate risk measurement in the spread book
- Credit risk measurement, CVaR and spread VaR
- Individual risks, portfolio risks, marginal risks
- Separation of default risk, migration risk and spread risk
- Functioning and assumptions of credit risk measurement
- Spread volatilities and correlations for measuring the credit spread risk
_Target Group
- Credit managers who are interested in portfolio management of credit risk
- Treasury executives who want to prepare for credit risk trading
- Managers of nostro securities accounts who regard credit risk as part of asset allocation
- Traders responsible for the management of corporate bond portfolios
- Traders interested in trading strategies with credit derivatives