Derivatives instruments - Step by step - Module 5 - Credit derivatives

Whoever watched "The wolf of Wall Street" has struggled to understand the jobs, products, jargon that surround the financial markets. Some of us are still trying to get their way out of this financial jungle and clarify the associated strategies. Demystifying financial instruments is the key objective of the step by step programme we propose below. Our modular approach allows each participant to select his/her entry point in the programme to best fit cumulated knowledge and experience on this wide topic.

9 June 2020 (ENG)

Price: 650.00 €

Duration: 4h

Language: English, also available in French

Number of participants: max. 12



By the end of this course, participants will be able to:

  • Define the general characteristics of each instrument
  • Gain in-depth understanding of how the instrument operates
  • List how it can best be used on the market – be it in single or in combination
  • with other instruments
  • Understand the valuation method and what can impact the value of it
  • Identify major risks associated and determine controls that may mitigate them


  • Credit risk fundamentals:
    • what are the 2 components to be quantified as a credit risk measure?
    • the impact of credit risk on bond prices
    • credit risk management
    • credit derivatives: buying or selling protection
    • the importance of ISDA: event of default in the sense of the ISDA agreement
    • the credit derivatives market
  • Credit default swaps “CDS”:
    • principle
    • CDS with recovery rate
    • CDS on a basket – the case of iTraxx
    • CDS packaged as a CLN (credit linked note)
  • Total return swaps “TRS
  • Equity default swaps “EDS”

The content of the session is illustrated by many real, market examples. It is given in an attractive, understandable way, avoiding mathematical developments (grouped into a final “pricing” session).

Target audience

Anyone who wants to reach a sound understanding of the financial instruments (including derivatives) used by investment managers.


Our lead experts

This training will be coordinated by Frédéric Botteman, Partner, PwC Luxembourg. The different modules will be animated by experts in derivatives.

Frédéric, Audit Partner, is specialized in the valuation of derivatives and illiquid securities. Thanks to this, he has gained a high expertise in the audit of guaranteed funds.
Frédéric has developed a strong fund audit experience and is also involved in the expert team in the area of circular CSSF 2002/77 requirements and is instructor in several courses linked to this topic and to derivatives.
Frédéric is also leading several SRI reporting for major IM players.

Contact us

Contact details

PwC's Academy, Crystal Park Building, PwC Luxembourg

Tel: +352 49 48 48 4040

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