Credit Derivatives 2 Practical Implications of Pricing
Training
Provided by London Financial Studies
Course Outline
The accurate and consistent pricing of credit derivatives is crucial to gaining a competitive edge in today's market. The objective of this workshop is to develop a solid understanding of the current frameworks for pricing credit derivatives and to give participants the mathematical and practical background necessary to evaluate the various pricing methodologies on the market.
* Practical and hands-on development of the models in use for CDO evaluation
* Illustration of why the models failed in the summer of 2007
* Sensitivity analysis to test breaking points of models and structures
* Critical examination of model assumptions
* Lessons learned and how they are likely to drive future model development
Who The Course is For
* Derivative Structurers and Financial Engineers
* Credit Traders, Managers and Analysts
* Sales People
* Fund and Portfolio Managers
* IT Staff supporting the Structured Product Group
* Middle and Back Office Staff and Managers
Product Controllers
* Credit Risk Department
* Quantitative Analysts
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Credit Derivatives 2 Practical Implications of Pricing
Day One
* Basics of pricing
* Pricing problems
? Calculating credit spreads
? Statistics of default
? Statistics of recovery rates
* Market proxy based pricing
* Arbitrage based pricing
* Bond market based pricing
Workshop: Building a Credit Curve
* Pricing with rating transitions
Day Two
* Merton model and modifications
Workshop: Building a Merton Model
* Stochastic process models
* Correlation of default models
Workshop: Calculating Correlation
* Portfolio models
? Creditmetrics
? KMV
? Creditgrades
? Creditrisk
? Portfolio view
* Benchmarking the models
* Basics of pricing
* Pricing problems
? Calculating credit spreads
? Statistics of default
? Statistics of recovery rates
* Market proxy based pricing
* Arbitrage based pricing
* Bond market based pricing
Workshop: Building a Credit Curve
* Pricing with rating transitions
Day Two
* Merton model and modifications
Workshop: Building a Merton Model
* Stochastic process models
* Correlation of default models
Workshop: Calculating Correlation
* Portfolio models
? Creditmetrics
? KMV
? Creditgrades
? Creditrisk
? Portfolio view
* Benchmarking the models
About The Training Provider: London Financial Studies
London Financial Studies - London Financial Studies is a specialist teaching resource that concentrates exclusively on capital markets. We offer individuals, teams and companies expert teaching that combines theoretical understanding with practical experience.
Our business is driven by a distinct philosophy and clear values:
* Practical Application
* Intellectual Clarity
* Personal Approach
*...
