International Swaps and Derivatives Association, Inc. (ISDA®)

Fundamentals of Credit Derivatives Seminar

6.25 CPD Credit Hours available (England & Wales)

November 18, 2008
London

PROGRAM AGENDA

8:00 AM

Registration and Continental Breakfast

8:45 AM
 Introduction to Credit Derivative Products
• Credit risk – key concepts
• Credit default swaps (CDS) – the mechanics
10:30 AM
 Morning Break
10:45 AM

Instruments and Applications
• Multiple-name protection and synthetic securitization
• Developments: including swaptions, recovery swaps, loan CDS
• Credit-linked notes
12:30 PM
 Luncheon
2:00 PM
 Risk and Pricing
• Probability of default, loss given default
• The ‘Merton’ model
• Pricing a CDS
3:30 PM
 Afternoon Break
3:45 PM
 Credit Derivatives Policy Issues
• Regulatory capital
• Operations issues
• Cash settlement
5:00 PM
 Conference Concludes

Agenda is subject to change

Please click here for the Conference Registration Form.

CONFERENCE VENUE: Allen & Overy, One Bishops Square, London E1 6AD. Phone: +44 20 3088 3550

To obtain more information, please contact the ISDA conference department at +1 212-901-6000 or
e-mail CONFERENCES@ISDA.ORG

® ISDA is a registered trademark of the International Swaps and Derivatives Association, Inc.
Copyright © 2003-2008 International Swaps and Derivatives Association, Inc.