Finance & Banking · Quantitative Finance

CreditChain: Credit Derivatives Explorer

Interactive exercise exploring CDS pricing, CLO tranche construction, default correlation effects, and stress testing of credit derivative structures

5 rounds Executive English, Español
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Who it is for

An advanced simulation for participants used to working with the main frameworks and trade-offs of the subject, designed for executive education and experienced professionals.

How a session runs

  1. The instructor creates a session from the Eureka dashboard and invites the participants.
  2. Participants play 5 rounds. In each one they submit their decisions and the simulation calculates the results. The first round opens with: CDS Mechanics.
  3. The simulation can be run in English, Español.
  4. The instructor follows each participant's progress and results from the dashboard, and uses the class results for the debrief.

Decisions participants make

The decisions participants make during the simulation:

  • Annual Default Probability (%)
  • Recovery Rate (%)
  • Maturity (Years)
  • Equity Tranche Detachment (%)
  • Mezzanine Detachment (%)
  • Senior Detachment (%)
  • Default Correlation
  • Stress Scenario
  • Severity Multiplier
  • Higher default correlation benefits which tranche?

What participants track

What participants follow on screen as the rounds go by:

  • Phase Results

Subjects covered

Designed for courses in Quantitative Finance.

  • Credit Derivatives (CDS, CLOs)

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