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Quantitative Techniques for Credit Derivatives

in London Financial Studies (England)

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Price:

£1,980 + VAT Special offers 

Duration:

2 Days

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Requirements:

A good maths background including probability theory, basic stochastic processes, basic concepts of ... see more

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Course objectives:

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.

London Financial Studies

<strong>London Financial Studies</strong> is a specialist teaching resource that concentrates exclusively on capital markets. We offer individuals, teams and companies expert teaching that...

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Course details

Type Course Duration 2 Days
Method / place Contact course provider Inhouse / Classes
Suitability * Quantitative analysts * Risk managers * Financial engineers * Researchers * Others who are involved in credit risk modelling in the capital markets
Course objectives 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.
Requirements
A good maths background including probability theory, basic stochastic processes, basic concepts of financial products and some knowledge of programming.
Price £1,980 + VAT
Special offer
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Course programme

Quantitative Techniques for Credit Derivatives
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
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    Teachers/ trainers

    profesorado David Cox


    Dr. David Cox has wide practical experience of the financial markets and an international reputation as a teacher of high-level short courses to the financial sector. His career includes ten years in banking, primarily with Bank of America Capital Markets. After leaving The City he joined the staff
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    On London Financial Studies

    Provider description
    <strong>London Financial Studies</strong> 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.
    Advantages of studying with London Financial Studies
    At <strong>London Financial Studies</strong> we concentrate exclusively on capital markets. We offer individuals, teams and companies a unique and expert teaching resource that combines theoretical understanding with practical experience and equips them to operate at the highest levels of efficiency and profitability.

    Our business is driven by a distinct philosophy and clear values:
    Practical Application Intellectual Clarity Personal Approach Economic Value
    Course provider history
    In the past decade London Financial Studies has become widely acclaimed as one of the best teaching resources for capital markets practitioners. Over that time we have delivered a diverse range of programmes to individuals, major financial institutions and government bodies worldwide.

    The <strong>London Financial Studies</strong> ethos of combining excellent and effective teaching grounded in sound theory as well as relevant and practical real-world experience is a direct result of the experience of the founder, David Cox.

    During his career in banking, he became aware of the acute need for high quality teaching relating to capital markets. After leaving the City he joined the London Business School and set out to develop techniques and materials to meet this need. The result was a series of short courses for practitioners: The Financial Markets Seminar Programme. London Financial Studies has refined the approach and uses the same methodology throughout its programme.
    Specialises in
    Credit Econometrics Equity Fixed Income and Inflation General Capital Markets Mathematics Other Asset Classes Quantitative Techniques

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