Applied OTC Derivatives: Managing Swaps and Credit Instruments in Complex Portfolios

For treasury professionals, risk managers, and portfolio analysts working in institutional settings, swaps and OTC derivatives are not isolated trades — they are integrated tools within broader balance sheet and liability management strategies. Managing them well requires judgment that goes well beyond mechanical valuation. By the end of this course you will be able to evaluate a multi-leg swap overlay strategy for an asset-liability management context, assess counterparty exposure using CVA (Credit Valuation Adjustment) concepts, and apply a regulatory compliance checklist to an OTC derivatives workflow. What you will learn: - Asset-liability management with interest rate swaps: matching duration gaps on balance sheets - Cross-currency basis swaps and their use in international funding and investment - CVA and DVA: adjusting derivative valuations for bilateral counterparty credit risk - Netting sets and the impact of collateral agreements on net counterparty exposure - Wrong-way risk: when counterparty default and portfolio loss are positively correlated - CDS as a credit hedging instrument: basis risk and index versus single-name strategies - Regulatory reporting obligations under Dodd-Frank and EMIR for non-cleared trades - Building a counterparty risk governance framework for an OTC derivatives programme The course is organised around a series of extended case studies, each tracing an institution's use of OTC instruments from strategic rationale through execution, valuation, and risk monitoring. Analytical readings provide the conceptual scaffolding; reflection prompts ask you to adapt the lessons to your own institutional context. A self-assessment capstone consolidates the major frameworks covered. This course is written for treasury analysts, risk managers, fixed income professionals, and finance graduates with existing knowledge of swap mechanics. Prior completion of a foundational derivatives course is recommended. This content is purely educational and informational; it does not constitute financial, legal, or regulatory advice and should not substitute for qualified professional counsel.