Quantitative Techniques for Credit Derivatives
Training
Provided by London Financial Studies
Course Outline
The objective of this course is to develop a solid understanding of the current framework for modelling and pricing credit derivatives. Participants will gain the mathematical and practical background necessary to apply the various models in the market and will learn about recent advances in the field.
Who The Course is For
* Quantitative analysts
* Risk managers
* Financial engineers
* Researchers
* and others who are involved in credit risk modelling in the capital markets
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Prior Knowledge
A good maths background including probability theory, basic stochastic processes, basic concepts of financial products and some knowledge of programming.
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Quantitative Techniques for Credit Derivatives
Day One
Credit Risk Modelling
This section describes and analyses some of the popular mathematical models for the pricing of financial derivatives in an univariate credit setting.
Fundamentals
* Components of credit risk
* Default and survival probabilities
* Instruments
Modelling
* Intensity based modelling
* Firm's value models
* Jump models
Credit Derivative Pricing
* Credit default swaps
* Calibration
* Pricing of payer and receiver swaptions on single name CDSs
* Dynamic spread generators
* Exotic option pricing on single name CDSs
Credit Index Modelling
* Black's model
* Jump models
* Pricing of payer and receiver index swaptions under advanced models
* Calibration
Day Two
Portfolio Credit Risk Modelling
This section discusses portfolio credit risk modelling. Dependency among the assets in the portfolio is crucial in the modelling and for the pricing of multivariate credit derivatives.
Default dependency and Portfolio Models
* Causes of correlation
* Joint default probabilities
* Conditional default probabilities
CDO Pricing
* Binomial model
* One factor Li Model
* CDO Pricing details
* Generic jump models for CDOs
* The Gamma CDO model
* Gaussian vs Gamma base correlation
Multivariate Index Modelling
* Correlated dynamic jump models for credit indices
* Calibration on swaption market
* Matching correlation
* Hybrids
Recent Advances
* CPPIs and CPDOs under jump models
* Assessing the gap risk under jump dynamics
Credit Risk Modelling
This section describes and analyses some of the popular mathematical models for the pricing of financial derivatives in an univariate credit setting.
Fundamentals
* Components of credit risk
* Default and survival probabilities
* Instruments
Modelling
* Intensity based modelling
* Firm's value models
* Jump models
Credit Derivative Pricing
* Credit default swaps
* Calibration
* Pricing of payer and receiver swaptions on single name CDSs
* Dynamic spread generators
* Exotic option pricing on single name CDSs
Credit Index Modelling
* Black's model
* Jump models
* Pricing of payer and receiver index swaptions under advanced models
* Calibration
Day Two
Portfolio Credit Risk Modelling
This section discusses portfolio credit risk modelling. Dependency among the assets in the portfolio is crucial in the modelling and for the pricing of multivariate credit derivatives.
Default dependency and Portfolio Models
* Causes of correlation
* Joint default probabilities
* Conditional default probabilities
CDO Pricing
* Binomial model
* One factor Li Model
* CDO Pricing details
* Generic jump models for CDOs
* The Gamma CDO model
* Gaussian vs Gamma base correlation
Multivariate Index Modelling
* Correlated dynamic jump models for credit indices
* Calibration on swaption market
* Matching correlation
* Hybrids
Recent Advances
* CPPIs and CPDOs under jump models
* Assessing the gap risk under jump dynamics
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
*...
