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 Swaps

What is covered?

The aim of the course is to enhance participants’ knowledge of credit derivatives and CDS in particular.  It covers mechanics and pricing and also gives a market overview of both past events and current developments.

Who will benefit?

Participants should have a background knowledge of credit risk (although this will be reviewed in brief) and will be looking to go into CDS in more depth than an introductory course on credit would offer.

Course content

Introduction to credit derivatives
    • Defining credit risk
    • What is a credit derivative?
    • Advantages of credit derivatives
Credit default swap mechanics
    • The structure of a credit default swap
    • Key types of credit default event
    • Physical and cash settlement
Credit default swap pricing
    • The key drivers of CDS price
    • The link between CDS prices and asset swap spreads
    • The replacement swap method of pricing CDS default
    • The probability model approach to CDS pricing
Recent market developments
    • Big Bang
    • Little Bang
    • SNAC
Basket CDS
    • Nth to default
    • The key drivers of basket CDS pricing


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