Instituto de Formação Bancária
IFB – The Portuguese Bank Training Institute
Associação Portuguesa de Bancos
2ª Ed
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Seminar
Credit Derivatives
Including the Subprime Crisis, CDO
Problems, and Banks' Exposure to Risk
12 -13 | Maio | 2008
Lisbon – Portugal
25 458
5 069
33454768
25 458
5 069
33454768
612
443 786
5 098
512 000
123
2457
612
443 786
5 098
512 000
123
2457
IFB – The Portuguese Bank Training Institute
The Portuguese Bank Training Institute (IFB) started its activity in 1980 and it is
the body of the Portuguese Bank Association (APB) responsible for professional
training. The Institute mission is to strengthen the culture of the banking profession and
foster the development of the Portuguese financial sector by qualifying its human
resources.
Today, the IFB is a solid reality in the field of specialised training in Portugal, offering trainees
flexible training methods, thereby enriching their learning process by creating a permanent link
between the academic and professional components. It has a multidisciplinary team of pedagogical
experts that produces teaching materials suited to the institute's different training methods: classroom
teaching, apprenticeship courses and distance learning (paper-based, e-learning and b-learning). The IFB's
activities also include consultancy in Portugal and abroad and high-quality seminars organization.
ACF Consultants
ACF Consultants, based in London, has an established reputation for providing first rate training and consultancy
to banks and other financial institutions, since 1981. ACF has extensive knowledge, experience and expertise in the
areas of banking and finance, and are global leaders in the development of financial simulations and the application of
innovative technology-based training techniques.
ACF Consultants set exacting standards. Only employ consultants who have wide-ranging and relevant experience,
coupled with exceptional teaching and communications skills.
IFB – Instituto de Formação Bancária
O Instituto de Formação Bancária (IFB) cuja actividade se iniciou em 1980, é o órgão da Associação Portuguesa
de Bancos (APB) para a formação profissional.
A sua missão é fortalecer a cultura da profissão e, através da qualificação dos seus recursos humanos, apoiar o
desenvolvimento do Sector Financeiro Português.
Hoje o IFB constitui uma sólida realidade no panorama da formação especializada em Portugal, colocando à
disposição dos formandos metodologias de formação flexíveis que permitam enriquecer o processo de
aprendizagem de cada um, pela possibilidade de permanente ligação entre a componente "Académica" e a
"Profissional". Possui uma equipa técnico-pedagógica que trabalhando sobre o eixo da multidisciplinaridade,
produz materiais didácticos adequados às diferentes metodologias de formação praticadas na casa: Presencial,
em Alternância e o Ensino a Distância (base-papel, e-Learning e b-Learning).
As actividades do IFB incluem, ainda, a consultoria em Portugal e no estrangeiro e a organização de
seminários altamente especializados.
ACF Consultants
A ACF Consultants, estabelecida em Londres desde 1981, proporciona formação profissional e
consultoria de elevada qualidade para bancos e outras instituições financeiras.
A ACF é detentora de extenso conhecimento e experiência nas áreas da banca e das
finanças. É reconhecida internacionalmente como líder do desenvolvimento e utilização
de simulações técnico-informáticas sofisticadas para efeitos de formação profissional
avançada, nomeadamente no domínio da Gestão de Activos e Passivos (ALM).
A ACF rege-se por exigentes critérios. Apenas recorre a consultores que
possuam uma ampla e relevante experiência aliadas a excelentes
qualidades de comunicação e ensino.
Seminar Objectives
The principal objectives of the seminar are to:
! Explain the various credit derivatives structures and products
! Provide delegates with a clear understanding of how credit derivatives can be used in practice to manage and hedge
credit risk
! Show how credit derivatives add value for buyers and sellers
! To provide an intuitive insight into the way in wich these credit derivatives are priced
! Discuss recent issues like the subprime crisis, Asset-Backed Commercial Papers (ABCPs), Structured Investment
Vehicles (SIVs), and Collateralized Debt Obligations of Asset-Backed Securities (CDO's of ABS's)
Teaching Methods
The seminar will provide an intensive blended-learning solution
combining:
! e-Learning
! Classroom training
! Simulation
Blending these three elements will produce an extremely motivating and
totally integrated program which is more effective and faster than
traditional classroom and case study methods.
Firm foundations will be laid with highly interactive e-Learning and
dynamic tutor-led training.
Practical exercises and simulation will be woven through the program to
allow delegates to put theory into immediate and realistic practice. After
attending our programme, delegates will retain the knowledge they have
acquired, and will be able to apply it to immediate and practical effect.
e-Learning
Pre-Course
Assessment
Tutor-Led
Training
Blended
Learning
End of
Seminar Test
Simulation
Objectivos do Seminário
Os objectivos principais do Seminário são:
! Explicar as várias estruturas e produtos existentes na área dos derivados de crédito
! Fornecer conhecimentos práticos sobre a utilização dos derivados de crédito na gestão e hedging do risco de crédito
! Demonstrar como os derivados de crédito constituem valor acrescentado para compradores e vendedores
! Analisar o estabelecimento de preço dos derivados de crédito
! Discutir situações recentes como a crise subprime, Asset-Backed Commercial Papers (ABCPs), Structured Investment Vehicles (SIVs)
e Collateralized Debt Obligations of Asset-Backed Securities (CDO's of ABS's)
Metodologia
O Seminário funciona em blended-learning combinando três
metodologias:
! e-Learning
! Formação em sala
! Prática simulada
Estes três elementos permitem criar um programa totalmente integrado
e bastante motivador que demonstra ser mais eficaz para o
desenvolvimento e criação de competências individuais.
Estas competências serão devidamente consolidadas pela interacção
obtida durante o Seminário, na medida em que será combinada a
formação em sala, com a análise de case studies e o recurso à prática
simulada.
Esta metodologia permitirá aos participantes uma aplicação directa dos
conhecimentos adquiridos no seu contexto profissional.
e-Learning
Pre-Course
Assessment
Tutor-Led
Training
Simulation
Blended
Learning
End of
Seminar Test
Simulation
Key Note Speaker
The seminar features ACF's Global Trader seminar – which
now has the capability to price, trade, and structure credit
derivative products – giving delegates hands-on experience of
the practical issues arising from using credit derivative
instruments.
Lawrence Galitz has a global reputation as one of the best
seminar leaders in the field of banking, finance, and ALM.
A dynamic and gifted trainer, with wide-ranging knowledge and
experience, Lawrence Galitz is exceptionally skilled in the art
of knowledge transfer. He has extensive experience in this
area and has consulted for a wide range of commercial and
central banks. Lawrence Galitz was the headmaster of the
Insurance, Bank and Finance Studies in the University College,
University of Wales, Bangor, UK.
Who Should Attend
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Corporate Banking
Bankers Working with Derivatives
Credit Staff
Credit Portfolio Managers
Risk Managers
Loan book and Counterparty Credit Exposure Managers
Treasury Staff Involved in Structuring
Investment Managers
Dept Capital Market Professionals
Equity Capital Market Professionals
Traders
Dealers
Corporate Sales
Bankers Working with Derivatives
Financial Controllers
Language
The Seminar will be given in English (no translation available).
Certificate
All participants will receive a certificate.
Location
IFB – The Portuguese Bank Training Institute
Av. 5 de Outubro, 164, 1069-198 Lisbon, PORTUGAL
Simulação
O Orador
O Seminário utiliza, na componente de recurso à prática
simulada, o programa Global Trader que possui a capacidade
para definir o preço, negociar e estruturar derivados de crédito
fornecendo aos participantes uma experiência em “primeira
mão” dos aspectos práticos que derivam da utilização dos
derivados de crédito.
Lawrence Galitz tem uma sólida reputação como um dos
melhores especialistas na área Bancária, Financeira e de ALM.
Como formador dinâmico e comunicativo que é, com um
vasto conhecimento e experiência, Lawrence Galitz
desenvolveu competências técnico-pedagógicas excepcionais.
É, ainda, consultor de numerosos bancos e instituições
financeiras em projectos de investigação. Anteriormente,
Lawrence Galitz foi o responsável da área de estudos em
Seguros, Banca e Finanças na University of Wales, Bangor, R.U.
Destinatários
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Corporate Banking
Bankers Working with Derivatives
Credit Staff
Credit Portfolio Managers
Risk Managers
Loan book and Counterparty Credit Exposure Managers
Treasury Staff Involved in Structuring
Investment Managers
Dept Capital Market Professionals
Equity Capital Market Professionals
Traders
Dealers
Corporate Sales
Bankers Working with Derivatives
Financial Controllers
Língua Utilizada
No Seminário utilizar-se-á exclusivamente a língua inglesa,
não sendo disponibilizado serviço de tradução simultânea.
Certificado
Será emitido um certificado de participação.
Local
IFB – Instituto de Formação Bancária
Av. 5 de Outubro, 164, 1069-198 Lisboa, PORTUGAL
Seminar Content / Programa
All practical sessions are highlighted like this:
Case study
Workshop or Simulation
Introduction to Credit Derivatives
The seminar starts by introducing the credit derivatives market, and
presents some of the latest statistics on users and the market itself.
! Principles and functions of credit derivatives
! Types of credit derivatives
! The credit derivatives market
! Participants and their roles
! Motivations for using credit derivatives
Single Name Credit Derivatives
The program starts by looking in some detail at the dominant credit
derivatives product – the credit default swap. After looking at the
practical aspects of this important financial tool, we finish this
section with a brief overview of the other single-name CD
products.
! Credit default swaps
! Terms and definitions
! ISDA agreements
! Credit events
! Settlement types
! Deliverable obligations
! Market and trading conventions
! Other products…
- Asset swaps
- Credit-linked notes (CLNs)
- Total return swaps
- Credit spread products
Using Credit Default Swaps
This section presents some client-focused examples showing how
different types of clients can use CDS’s to reshape risk exposure, to
enhance yield, or to improve utilisation of credit and capital
resources.
! Who uses CDS’s?
! CDS applications…
! Managing credit risk exposure
! Hedging default risk
! Enhancing yield
! Providing market access
! Accessing diversified portfolios
! Implementing directional trades
! Exploiting relative value
! Arbitrage
! Curve trades
! Using credit default swaps
Trading Simulation
In this session, delegates will use the Global Trader simulator to
trade and manage a book of credit default swaps. The session will
explore some of the dynamics of CDS prices, as well as the practical
illustration of curve risk and the SDV01.
Index Products
The evolution of widely-accepted market standard indices has
helped to increase liquidity and transparency in the credit
derivatives market. This section explains how the indices are
created, and how they can be applied.
! The CDX and iTraxx indices
! Geographic and sector coverage
! Index construction
! Who uses indices?
! Index trading applications
! Index trading example
Pricing Credit Default Swaps
Here we provide delegates with an intuitive understanding of
how CDS’s are priced, dealing with default and survival
probabilities, recovery rates, and fair-value pricing. These
concepts are all illustrated by hands-on pricing examples, so
delegates gain a real appreciation of the issues.
! Overview of CD pricing approaches
! CDS and asset swaps – the basis
! An “intuitive” approach to CD pricing
! Credit risk and credit spreads
! Bootstrapping default probabilities
! Implied default and survival probabilities
! Recovery rates
! Obtaining CDS premiums from default probabilities :
! Bootstrapping default probabilities from CDS premiums :
! The CDSW screen
ACF Consultants
(London)
Portfolio Credit Derivatives
The seminar next looks at portfolio CD products, starting with a discussion of
correlation, and its importance in this area. We first introduce the FTD swap – a
logical extension of the singlename product, but the majority of time will be spent
on CDOs, both funded and especially synthetic. Practical exercises illustrate the
design and application of CDOs.
! The importance of correlation
! Portfolio / basket credit derivatives
! First-to-default swaps
! 2nd-to-default and other variations
! Collateralised Debt Obligations (CDOs)
! Selecting assets for securitisation
! Balance sheet CDOs
! CDO structures and the role of the SPE
! Senior, mezzanine, and equity pieces
! The “waterfall” of cash flows
! Designing a CDO structure
! Synthetic CDOs
! How synthetic CDOs work
! Partial vs. fully synthetic CDOs
! Advantages of synthetic securitisation
! Conduits and SIVs
Pricing Portfolio Credit Derivatives
In this section we explain how CDO products are priced, and why correlation is
so important.
! Principles of correlation pricing
! Pricing a first-to-default credit default swap and other correlation CDS’s :
! Tranches and CDOs (synthetic and cashflow)
! Pricing a Synthetic CDO :
Tranched CDO and CDX Trading
In this final section we discuss and demonstrate how tranched CDO and
CDX structures work, and how they can be used in practice to enhance
yield and to take a view on correlation.
! CDO and CDX tranches
! Risk/return characteristics of each tranche
! Characteristics of the equity piece
! Characteristics of the mezzanine pieces
! The impact of correlation
! Tranche pricing methodology
! The concept of delta
! Creating tranched CDO structures
! Using a tranched CDO structure
! The 2007 subprime crisis, CDOs of ABSs, &
tranched CDOs performance
A full member of
Entidade Formadora
Acreditada
Instituto de Formação Bancária
IFB – The Portuguese Bank Training Institute
Associação Portuguesa de Bancos
003_0081_V04
More Information / Para mais informações:
Ana Margarida Soromenho
Av. 5 de Outubro, 164, 1069-198 Lisboa, PORTUGAL
Tel.: (+351) 217 916 274
Fax: (+351) 217 977 732
Copyright © 2008 by IFB/APB
www.ifb.pt
e-mail: [email protected]