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Fundamentals of Credit Risk by John Hull: Maple Financial Professor of Derivatives & Risk Management, University of Toronto |  |
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John Hull is the Maple Financial Professor of Derivatives and Risk Management at the Joseph L. Rotman School of Management, University of Toronto. He is well known for his books and for his research covering many areas, including credit derivatives. He has won many teaching awards, including University of Toronto’s prestigious Northrop Frye award.
Background
- The products: CDSs, cash CDOs, synthetic CDOs, etc
- The credit crisis: how it happened, what we can learn from it
- Default probabilities and recovery rates
- Real world vs risk-neutral probability measures
The Standard Market model
- The nature of copulas
- Factor-based copulas
- Gaussian copula model of time to default
- Relation to structural models
- Implementation of model
- Other Factor-Based Correlations
Base Correlation and Alternative Measures
- Compound correlation and base correlation
- The loss distribution
- The hazard rate distribution
- The expected loss function
The Implied Copula Approach
- A parametrization of the model
- Step-by-implementation
- Valuation of bespokes
- Homogeneous vs heterogeneous model
- One factor vs two factors
Day schedule: 09:00 – 17:00
Break: 10:30 – 10:45
Lunch: 12:30 – 13:30
Break: 15:15 – 15:30