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Day 1: Latest Developments: Collateralized Debt Obligations
- Evolution of CDO correlation models:
- Gaussian copula; base correlations; extensions
- Modeling correlations by dynamic conditioning
- Pricing concentration bespoke tranches
- Temporal aggregation of realized correlation
- Optimal dynamic hedging in a dynamic spread-default environment
- Modelling portfolio credit derivatives - trading applications
- Credit option strategies - trading strategies used by market participants and structured products built around them
- CDOs in a portfolio context - how to integrate CDOs into the overall asset allocation process
Presenters:
Claudio Albanese: Bloomberg LP, New York & Imperial College London
Norddine Bennani: Head of Credit Derivatives Quantitative Research, Barclays Capital
Vivek Kapoor: Fixed Income Hybrids, Citigroup
Richard Martin: Director, Head of Quantitative Credit Strategy, Credit Suisse
Day 2: 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 forGap Risk
- Advanced Models and Exotic CDOs
Presenter:
Jon Gregory: Global Head of Credit Derivatives Research, Barclays Capital
Day 3: Credit CPPI
- The CPPI structure in the equity world
- The CPPI in the credit universe
- Characteristics of a CPPI strategy
- Designing a CPPI correlation trade
- Fully-managed Credit CPPIs
- Credit spread / Jump-to-default / Credit correlation
- Practical Calibration of the Models
Presenters:
Jerome Brun: Head of Quantitative Credit Research, Société Générale
Julien Turc: Head of Quantitative Credit Strategy, Société Générale
Location:
The Millennium Hotel London Knightsbridge
17 Sloane Street
London SW1X 9NU
Hotel Website
Nearest Tube: Knightsbridge
Topics covered: | Details: | download pdf
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Flight details:
All delegates flying into London on the morning of the event are reminded that they should arrive 30 minutes before the workshop starts for registration. The hotels West End location is approximately 1 hour from all 3 main London airports, Heathrow, Gatwick and City. Returning flights should equally allow for the events finishing time.
Complimentary inbound transfer service:
WBS Training now extend our premium service to all our clients. This includes a complimentary inbound transfer from London airports to central London hotels for all workshops. If you require this service simply inform us up to 2 working days prior to your arrival (flight number, arrival time, airport and hotel destination) and we will arrange a complimentary pick up. You will be given a phone number to call on arrival and will be greeted at the airport by our partner taxi company.
Sponsorship:
World Business strategies Ltd, offer sponsorship opportunities for all events, E-mail headers and the web site. Contact Sponsorship: +44 (0) 1273 674400
Disclaimer:
World business strategies command the rights to cancel or alter any part of this programme.
Cancellation:
By completing of this form the client hereby enters into a agreement stating that if a cancellation is made by fax or writing within two weeks of the event date no refund shall be given. However in certain circumstances a credit note maybe issued for future events.
Prior to the two week deadline, cancellations are subject to a fee of 25% of the overall course cost.