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08:50 - 10:40: Luis Manuel García: Head of Credit Quantitative Analysis, BBVA |
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A Dynamic Credit Basket Model with an Explicit Stochastic Modeling of Default Correlation using Chained Copulas
- Introduction to dynamic basket models
- Chaining with the Gaussian Copula
- Brief Introduction to Archimedean Copulas
- The Clayton Copula
- The Gamma process
- Spot and forward Copulas
- Correlation modeling: CIR and Lognormal processes
- Default intensities modeling
- Correlation smile implied by the model
Break: 10:40 - 11:00
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11:00 - 12:30: Martin Baxter: Fixed Income Quantitative Research, Nomura International | |
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CVA Pricing, Integrated with Funding and Own Credit
- CVA portfolio pricing fundamentals
- Consistent integration with funding and own credit benefit
- Quanto CDS and cross-currency CVA
- Impact on callable trades
Lunch: 12:30 - 13:50
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13:50 - 15:10: Damiano Brigo: Managing Director, Fitch Solutions, Visiting Professor, Imperial College, London | |
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Credit Models and the Crisis or: How I learned to stop worrying and love the CVA and CDOs
- Base correlation warnings pre-crisis
- Alternative CDO models pre-crisis
- Base correlation and Dynamic models in crisis
- The neglected role of Credit volatility for CVA
- Poor wrong way risk representation with copula models
- Bilateral Counterparty Risk and seemingly paradoxical results
- Impact of singular numeraires in index options pricing in-crisis
Break: 15:10 - 15:30
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15:30 - 16:50: Giovanni Cesari: Head of CVA-Quant Group, Managing Director, UBS | |
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Modelling, Pricing, and Hedging Counterparty Credit Exposure
- Computing CVA and counterparty risk for both vanilla and exotic products
- A generic mathematical and computational framework
- Practical examples of exposure computations across all asset classes
- Inclusion of right way / wrong way risk
- Impact of collateral
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16:50 - 18:00: Open Floor Q&A Session | |
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Open Floor Q&A Session:
Credit Stream Panel: Credit Models and the Crisis: CVA, CDOs, FX Effects, Liquidity and Hybrid Models
Moderator: Damiano Brigo
Panelists:
- Martin Baxter
- Giovanni Cesari
- Dariusz Gatarek
- David Shelton
Panel Topics:
- Hybrid modeling features: the FX effect on CDS on multiple currencies. (Can CDS be considered pure credit indicators any more?)
- CVA: hybrid models features and consistency, model risk.
- CVA: netting, collateralization, bilateral features.
- Liquidity modeling and interaction with credit
- Future of the CDO market
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20:00: Gala Dinner: Posada de la Villa Restaurant | |
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