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Infoline Conferences Ltd

Valuing Credit Default Swaps (CDS)
Date: 12 May 2009
Location: London
Address: Venue address:
The Hatton
51-53 Hatton Garden
London
EC1N 8HN
Event Description: Introduction
The growth in the use of Credit Default Swaps (CDS) for hedging, arbitrage and speculation
in the credit world has been truly remarkable. In the last fifteen years this market has grown
from nothing to, according to some estimates,an outstanding notional amount of contracts
exceeding fifty trillion dollars. The accurate valuation of these products is of course a vital element in any risk analysis or profit and loss calculation. For simple and liquid contracts a mark to market valuation is usually readily available but, once we move away from the liquid and generic contract, establishing a sensible valuation for the deals can be problematic to say the least.

This course will examine the techniques that can be used to establish the value of CDS.
Starting with simple mark to market, it will progress to:
• Credit spread based on asset swap pricing
• More complex default intensity models, such as Duffie-Singleton
• Alternative approaches based on transition matrices
• Merton’s model (KMV)
• Valuation of tranche based CDS and the use of correlation based (Copula) models

Who Will Benefit?
The course will be of benefit to anyone who needs to understand the issues in valuing Credit
Default Swaps (CDS) in more detail, particularly those whose day-to-day role is NOT directly the
Trading or Sales of these products. This will include Senior Management, Compliance, Risk,
Operations, Investment, Treasury and Finance managers in Banks, Asset Managers, Insurance Companies and Institutional Investors.
Contact: Tel: +44 (0)20 7017 7702
Fax: +44 (0)20 7017 7881
Email: custserv@infoline.org.uk
Web: www.infoline.org.uk/valuingCDS
Website: www.infoline.org.uk
 
 
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