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Please See Below For Course Information On 'Credit Derivatives II: Practical Implications of Pricing'




Overview

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.

Who is it 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

What will i learn?

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

How will i be assessed?

This program is eligible for 16 Continuing Education credit hours from the CFA Institute. If you are a CFA Institute member, CE credit for your participation in this program will be automatically recorded in your CE Diary.

Address

Butlers Wharf, London
SE1 2ND

Travel Information

http://www.londonfs.com/contact.htm

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