Overview

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Credit derivatives play a critical role in managing credit risk, pricing default exposure, and supporting risk transfer in modern financial markets. In this course, you will build a strong foundation in structured finance and credit derivatives while learning how key instruments are designed, priced, and applied in practice. You will begin by exploring the fundamentals of structured finance, credit risk, and credit default swaps (CDS), including pricing concepts, probability models, and credit event triggers. As you progress, you will examine advanced credit derivative instruments such as credit-linked notes, asset swaps, total return swaps, basket default swaps, and bond-CDS equivalence, while interpreting joint default probabilities to understand systemic risk. The course concludes with practical pricing methods, recovery rates, computational approaches, and the analysis of credit spreads and derivative valuation in real-world financial markets. Designed for finance students, risk managers, and investment professionals, this course combines foundational concepts with practical applications to help you analyze, price, and apply credit derivatives with confidence. By the end of the course, you will be able to evaluate credit risk, assess default exposures using pricing and probability models, differentiate among major credit derivative instruments, and apply computational methods to support informed financial risk management and portfolio decisions.

Syllabus

Foundations of Structured Finance and Credit Risk
- This module introduces the fundamentals of structured finance and credit derivatives, focusing on how financial institutions design products to manage and redistribute risk. Learners will explore the foundations of structured finance, gain an understanding of credit risk, and analyze the role of credit default swaps (CDS) in mitigating potential losses. Through practical examples, participants will learn the principles of pricing, probability, and credit event triggers.
Advanced Credit Derivatives and Applications
- This module explores advanced instruments in credit derivatives and their practical applications in financial markets. Learners will examine credit-linked notes, asset swaps, total return swaps, and basket default swaps to understand their mechanics and uses. The module also covers joint default probabilities and systemic risk, highlighting how these tools are applied in real-world scenarios to strengthen financial risk management strategies.
Credit Derivatives – Concepts, Instruments, and Applications
- This module introduces the concepts, structures, and applications of credit derivatives, providing a comprehensive view of their role in modern finance. Learners will examine the foundations of credit derivatives, credit risk, and credit spreads, followed by an in-depth study of instruments such as credit spread forwards and credit linked notes. The module also covers pricing considerations, recovery rates, and computational methods, equipping learners with practical skills to analyze, model, and apply credit derivatives in financial markets.