Illustrative course outlines

At OTC we believe in tailoring our courses to meet each client’s specific requirements.  The illustrative course outline below gives an indication of the type of course content that we’ve been asked to deliver. For more information call us on +44 20 7700 3330 or email

Strategy & Leadership Finance & Commerce Investment Banking

Credit Default Swap modelling

What is covered?

The aim of the course is to enhance participants’ knowledge of how to construct a basic CDS pricing model.  It could be combined with the credit default swap course above to offer participants a logical progression in training.

Who will benefit?

Those with prior knowledge of basic credit derivatives, looking to understand pricing of these products.  Prior knowledge of DCF is also required.

Course content

Revision of credit derivatives
    • What is a credit derivative?
    • Advantages of credit derivatives
Credit default swap pricing
    • Linking default probability to credit spreads
    • Building a probability tree
    • Evaluating and discounting outcomes
Deriving the CDS spread


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