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Recent Developments in Credit Derivatives Pricing Workshop: Jon Gregory: Global Credit Derivatives: Barclays Capital |  |
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9:00-10:30 Modelling Credit Correlation
- Default Correlation
- Structural models and asset correlation
- The Gaussian Copula Model
- Alternative Copula approaches
10:30-10:45 Morning Break
10:45-12:30 Pricing Baskets and Synthetic CDOs
- Pricing of nth to default baskets
- Pricing of synthetic CDO tranches
- Implementing Copula models, analytical and Monte Carlo pricing
- Risk management aspects
12:30-13:30 Lunch
13:30-17:00 The Correlation Skew
- Base Correlation
- Skew in the strike dimension
- Skew in the maturity dimension
- Pricing bespoke portfolios
- Copula Skew Models
Other Topics
- Pricing of CDS and CDS options
- Index option pricing
- Capital structure arbitrage
- Pricing of credit contingent structures
- Leveraged super senior tranches