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Description

Credit Derivatives: Decoding Structures, Pricing and Hedging Credit Risk

Understand how credit derivatives work in order to hedge an exposure or take a position

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

Credit risk is now transferred by contract as much as it is carried on the balance sheet. A derivative triggered by a credit event requires a clear understanding of what constitutes default and how the contract is settled. Many practitioners use these instruments without mastering the premium and valuation mechanics that underpin them.

This short format focuses on single-name credit derivatives and credit indices. It differs from the session dedicated to foreign exchange by remaining centred on the credit event and recovery. You follow the life of a contract from initial quotation through to settlement after default.

Learning objectives

  • Describe the mechanics of a single-name credit derivative
  • Identify credit events and their contractual consequences
  • Read a premium quotation and infer the perceived level of risk
  • Measure the effect of a hedge on a portfolio exposure
  • Distinguish hedging uses from position-taking uses

What makes this programme different

Full walk-through of a simulated default up to contract settlement
Guided reading of premium quotations across several reference entities
Comparison between hedging with a derivative and selling the receivable

Programme

1Mechanics of the credit derivative contract

Who pays what and when

  • Protection buyer and protection seller: cash flows and commitments
  • Periodic premium and reading quotations in basis points
  • Contractual definition of the credit event
  • Maturity and reference notional amount

2Valuation and market reading

What the premium tells you

  • Relationship between premium and perceived probability of default
  • Recovery rate and contract sensitivity
  • Premium curve and differentials between reference entities
  • Credit indices and the logic of tranches

3Hedging uses and settlement after default

From the portfolio to unwinding

  • Hedging an existing credit exposure
  • Directional position-taking and arbitrage
  • Settlement procedure following a credit event
  • Residual basis risk and counterparty risk

Who is it for

Trading floor and middle office staff as well as credit analysts and bond portfolio managers.

Prerequisites

A working knowledge of bond instruments and credit risk is required.

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.