 |
Topics covered: |  |
|
 |
 |
Day 1: John Hull: Professor of Derivatives & Risk Management, Rotman School of Management, University of Toronto
John Hull is the Maple Financial Group Professor of Derivatives and Risk Management in the Joseph L. Rotman School of Management at the University of Toronto. He is an internationally recognized authority on derivatives and has many publications in that area. Recently his research has been concerned with credit risk, executive stock options, volatility surfaces, market risk, and interest rate derivatives. He was, with Alan White, one of the winners of the Nikko-LOR research competition for his work on the Hull- White interest rate model. He has acted as consultant to many North American, Japanese, and European financial institutions.
He has written three books “Risk Management and Financial Institutions” (new this year), "Options, Futures, and Other Derivatives" (now in its sixth edition) and "Fundamentals of Futures and Options Markets" (now in its fifth edition). The books have been translated into many languages and are widely used in trading rooms throughout the world. He has won many teaching awards, including University of Toronto's prestigious Northrop Frye award, and was voted Financial Engineer of the Year in 1999 by the International Association of Financial Engineers.
In addition to the University of Toronto, Dr. Hull has taught at York University, University of British Columbia, New York University, Cranfield University, and London Business School. Earlier in his career he worked as a corporate planning analyst with British Shoe Corporation. He is an Associate Editor of eight academic journals.
Modelling Credit Derivative Products
- Default Probabilities and Credit Default Swaps
- Real World vs Risk Neutral Analysis
- CDOs: The Standard Market Model
- The Gaussian Copula Model
- The Implied Copula Approach
- Non-Standard Maturities
- Non-Homogeneous Version of Implied Copula Model
- Handling Bespoke Portfolios
Day 2: Jon Gregory: Global Head of Credit Derivatives Research, Barclays Capital
Jon Gregory works on the Global Credit Derivatives desk at Barclays Capital, previous to this he was global head of the research team for credit trading and derivatives at BNP Paribas. His main interest lies in reconciling theoretical and practical approaches for pricing, hedging and managing credit risk. He worked in the Fixed Income division of Salomon Brothers (now part of Citigroup) prior to joining Paribas in 1997. In addition to publishing papers on the pricing of credit risk and related topics, he is co-author of the best selling book "Credit: The Complete Guide to Pricing, Hedging and Risk Management", short-listed for the Kulp-Wright Book Award for the most significant text in the field of risk management and insurance. Jon gained a BSc from the University of Bristol in 1993 and was awarded his PhD from Cambridge University in 1996.
Pricing Issues in Structured Credit
- Structural models and asset correlation
- Pricing of synthetic CDO tranches
- Implementing Copula models, analytical and Monte Carlo pricing
- Pricing bespoke portfolios
- Copula Skew Models
- CPDOs
- Models for Gap Risk
- Advanced Models and Exotic CDOs
Day 3: Philipp Schönbucher, Assistant Professor, Risk Management, (ETH) Zurich
Philipp J. Schönbucher is assistant professor of Quantitative Risk Management at the Department of Mathematics of the Swiss Federal Institute of Technology (ETH) Zurich. He holds degrees in mathematics (Oxford) and economics (Bonn) and a PhD in economics (Bonn). His publications include papers on credit risk modelling, credit derivatives pricing, stochastic volatility modelling, option pricing in illiquid markets, real options and term structure models. His main area of research is credit risk modelling and credit derivatives pricing in which he has been active since 1996. Philipp is a consultant and professional trainer to a number of leading financial institutions. Furthermore he is author of a book on “Credit Derivatives Pricing Models” (Wiley, 2003).
Pricing Models for Credit Hybrid Securities
- Hybrid Risk Factor Component
- Dependency between Credit Risk and Hybrid Risk
- Intensity-Based Models
- Copula Models: How to Incorporate External Risk Factors into a Default-Time Model
- Credit Equity Hybrids
- Credit Interest-Rate Hybrids
- Credit FX Hybrids
- Credit Commodity Hybrids
Location:
The Warwick New York Hotel
65 West 54th Street
NYC, New York 10019
USA
Hotel Website