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

Understanding credit risk and credit derivatives

What is covered?

This course gives an overview of the principles of credit risk, the operational and regulatory framework and how it is managed.  It starts at a basic level of understanding the risks and exposures and moves to cover the credit derivative market and suitable products to mitigate risks.

Who will benefit?

Participants who want to understand the risk of trading with counterparties and its impact on their organisation.  This course assumes no prior knowledge, but does move at a rapid pace and contain some computational areas.

Course content

Understanding credit risk
    • Counterparty exposure
    • Probability of default
    • Exposure at default
    • Loss given default
    • Managing the risk
Basel 2 and credit risk
    • standardised and advanced approaches
Basel 3 and its implications for credit risk
Pricing credit risk
    • Yield spreads
    • Review of yield spread measures (I-spread, Z-spread, ASW spread, OAS)
Introduction to credit derivatives
    • The structure of a credit default swap
    • CDS as an insurance product
    • The key types of credit default event
    • Physical and cash settlement
    • Bloomberg CDSW worksheet


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