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This two-day course provides a comprehensive overview of traditional and modern methodologies for calculating credit spreads.
This course teaches an analytical process for interpreting spreads and making superior investment decisions.
The course looks at spreads as measures of expected loss, before addressing the analysis of credit spreads on bonds, including the standard measures. The option theoretic approach, covering the calculation and application of expected default frequencies, is explored, together with analysis of other market-implied measures and fair-value spreads (FVS).
- Understand the calculation of bond spreads (as shown on a Bloomberg yield and spread (YAS) page).
- Analyze historic vs. market-implied risk measures.
- Describe the calculation and use of market-implied measures.
- Understand the value of FVS and their use in the investment process.
- Bond portfolio managers
- Credit officers
- Risk managers
- Bond traders