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Description

Credit Derivatives: Pricing Contracts, Hedging Risk and Managing the Portfolio

Price and manage credit derivative positions with full command of the underlying model assumptions

  • 2 days — 14 h
  • In-person or virtual
  • Expert
  • Up to 6 participants

With credit derivatives, the quoted price is the output of a chain of assumptions that is rarely made explicit: the recovery rate applied, the shape of the default intensity curve, the treatment of illiquid points, the correlation assumed between reference names. When spreads widen sharply, those assumptions determine the result that is booked.

Over two days, this programme rebuilds the full mechanics, from the contract through to the hedge. Participants calibrate a default curve from quoted spreads, revalue a portfolio after a market shock and defend a hedging strategy before a risk committee.

Learning objectives

  • Describe the contractual mechanics of the main credit derivative instruments
  • Calibrate an implied default probability curve from quoted spreads
  • Price a credit default swap and calculate its sensitivities
  • Handle default correlation in portfolio-backed products
  • Incorporate counterparty and funding valuation adjustments
  • Build and monitor a credit risk hedge

What makes this programme different

The default curve is rebuilt step by step from live market spreads
Portfolio sensitivities are recalculated after each simulated shock
Gaps between model valuation and observed price are analysed and explained

Programme

1Instruments and Contractual Mechanics

Knowing what you are actually buying

  • Single-name credit default swaps
  • Credit indices and tranching
  • Credit event definition and settlement procedures
  • Master documentation, collateral and margin calls
  • Role of central clearing counterparties

2Building the Credit Curve

Extracting the information embedded in spreads

  • Relationship between spread, recovery rate and default probability
  • Calibrating a default intensity curve
  • Interpolation and treatment of illiquid maturities
  • From quoted spread to the upfront amount settled at inception
  • Quality control of market data

3Valuation and Sensitivities

Measuring the risk carried day to day

  • Valuing the premium leg and the protection leg
  • Sensitivity to spread and to recovery rate
  • Jump-to-default risk and concentration by reference name
  • Portfolio-backed products and correlation modelling
  • Model limitations in stressed market conditions

4Hedging and Portfolio Management

Steering positions over time

  • Hedging a bond exposure with derivatives
  • The basis between bond and swap
  • Counterparty and funding valuation adjustments
  • Framing positions within risk limits
  • Independent controls and valuation reserves

Who is it for

Market practitioners, structurers, quantitative analysts, fixed income portfolio managers, valuation officers and risk controllers.

Prerequisites

Sound command of financial mathematics and of interest rate product valuation.

Dates & locations

36 scheduled dates between November 2026 and December 2027. Seats are confirmed in the order enquiries are received.

November 2026

December 2026

January 2027

February 2027

March 2027

April 2027

May 2027

June 2027

September 2027

October 2027

November 2027

December 2027

None of these dates suit you? We open additional sessions on request, and any programme can be run privately for your team.

Practical details

Before the programme
Online positioning questionnaire. Your development objectives are shared with the trainer, who tailors the practical case studies to your context.
Teaching methods
Theoretical input, workshops and practical case studies. Digital course materials and method sheets provided.
Assessment
Multiple-choice tests and role-play exercises. Assessment of learning at the start and end of the programme, with immediate and 60-day follow-up evaluations.
After the programme
One year of access to the e-learning platform. Self-assessment of the skills acquired and a 30-day follow-up session with your trainer.
How to register
Registration online or on the basis of a quotation.
Lead time
11 working days after confirmation of registration.
Accessibility
Accessible to people of determination. Contact our accessibility coordinator to design a suitable solution: contact@mpf-academy.ae
Start dates
Rolling intake: in addition to the scheduled sessions, this programme can start on request.