This eCourse consists of three modules. Module 1 outlines the key calculations in CDS pricing and shows how valuation has coalesced around standard pricing models and simplified assumptions.

Module 2 outlines the key features of the ISDA documentation framework and shows how auction settlement is used to determine recovery rates.

Module 3 explores the key relationship between different credit products, and introduces some of the lesser-known variations in the credit derivatives market.

On completion of this course, you will be able to:
- Identify the role of the credit triangle in pricing credit spreads
- Recall how credit default swap pricing is broken into the valuation of protection and default streams
- Recognize how the risk-neutral default probabilities and recovery rates generated by standard pricing models are convenient rather than accurate
- Describe the documentation framework for credit default swaps and show how this framework has developed
- Explain how auction settlement is used to determine recovery rates
- Categorize the different types of CDS product into simple and more complex variants
- Name the different types of CDS product based on portfolios of underlying names
- Identify the key characteristics of synthetic CDOs

Module 1: Credit Derivatives – CDS Valuation
Topic 1: Overview of CDS Pricing
Topic 2: Default & Survival Probabilities
Topic 3: Other Pricing Factors

Module 2: Credit Derivatives – CDS Documentation & Settlement
Topic 1: CDS Documentation
Topic 2: CDS Auction Settlement

Module 3: Credit Derivatives – Variations
Topic 1: Overview of CDS Variations
Topic 2: Simple CDS Variations
Topic 3: Portfolio Products
Topic 4: Synthetic Collateralized debt Obligations (CDOs)