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Day 1: Credit Derivatives: After the Credit Crunch: Pricing, Hedging, Modelling & Trading Techniques |  |
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09:00 - 11:00 Pricing and Hedging of Credit Derivatives: Information-Based Models
Presenters: Dorje C. Brody: Reader in Mathematics, Imperial College London & Lane P Hughston: Professor of Financial Mathematics, King's College London
- Information-driven asset-price dynamics
- Modelling the cash flows
- Modelling the flow of information
- Derivation of the credit-risky bond price process
- Defaultable discount bond dynamics
- Simulation of credit-risky bond price processes
- Dynamic model calibration
- Options on credit-risky bonds
- Dynamic hedging of a credit-risky bond option
- Volatility and correlation modelling
- Baskets of correlated bonds
11:00 - 11:15 Break
11:15 - 12:45 Credit Volatility - Options and Beyond
Presenter: Jerome Brun: Head of Quantitative Credit Research, Société Générale
- CDS options, and Black's formula
- Credit index options:
Payoff specificity
Back to Black
Models without smile ?
- Trading strategies involving index options
- New products on credit volatility
12:45 - 13:45 Lunch
13:45 - 15:45 Tranches: Trading and Hedging in a Challenging Market:
Presenters: Alberto Gallo & Abel Elizalde: Credit Derivatives Strategy, Bear Stearns
Trading Tranches
Securitization, Liquidity and the Economy
Explaining the impact of cash and synthetic securitization on the real economy.
The Credit Crunch: What Happened and What’s Next?
Analyzing the events of 2007 and the upcoming turning point in the credit cycle.
Structured Credit Products
The economics and mechanics of standardized products.
Creative Destruction: the Evolution of Credit Derivatives
The products which are poised to succeed and the ones which will disappear.
Trading Credit Derivatives
Knowing the risks and using these instruments at your advantage.
- Trading the curve, basis, recovery rates, index replication
- Volatility trading
- Correlation and convexity trading
- Relative value in IG and HY tranches
New Strategies and Innovations
Our approach and how our strategies have outperformed the market.
- Supercharging tranche convexity
- Spread-neutral short correlation trades
- Buying out-of-the-money tranches
15:45 - 16:00 Break
16:00 - 17:30 Arbitrage-Free Pricing of Credit Index Options. The armageddon pricing measure and the role of correlation during the subprime crisis.
Presenter: Massimo Morini: Head of Credit Models, IntesaSan Paolo Bank
- Analysis of mapping methods through intertemporal testing. The behaviour in August 2007 compared to May 2005. The consequences for the hedging of credit correlation derivatives.
- Using heterogeneous correlations and scenario correlations for capturing systemic risk. The effect on CDO and CDO square
Day 1: Credit Derivatives: After the Credit Crunch: Pricing, Hedging, Modelling & Trading Techniques | Day 2: Credit Derivatives: After the Credit Crunch: Pricing, Hedging, Modelling & Trading Techniques | Day 3: "After The Storm: The Future of Structured Credit" | Details: | download pdf
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Day 2: Credit Derivatives: After the Credit Crunch: Pricing, Hedging, Modelling & Trading Techniques | |
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09:00 - 10:30 Subprime Shock on Credit Markets
Presenter: Jochen Felsenheimer: Head of Credit Strategy & Structured Credit, UniCredit Market & Investment Banking
- "The long-term effect from the subprime shock on credit markets"
- New product developments in the aftermath of subprime:
- Back to Basics & m-t-m immunization
10:30 - 11:00 Break
11:00 - 12:30 Dynamic Portfolio Loss Modelling:
Presenter: Matthias Arnsdorf: Quantitative Research, JP Morgan
Outline:
- Background
- Products
- Key factors in loss modelling
- BSLP: Bivariate Spread-Loss Portfolio Model
- Local intensity model
- Stochastic intensity model
In Practice:
- Calibration
- Tranche options
- Risk and hedging
12:30 - 13:30 Lunch
13:30 - 15:30 One-factor models for Credit Derivatives
From iTraxx to TABX:
Presenters: Serge Goossens: Senior Quantitative Analyst & Joao Garcia: Head of the Credit Modelling, Dexia Bank
One-factor models for Synthetic Corporate CDO indices and tranches
- Gaussian Copula: Implied compound vs Base Correlation
- Levy vs Gaussian Base Correlation
- Base Expected Loss and Non-arbitrage Conditions
- Explaining Base Correlation Smile
Dynamic Spread Modelling for Credit CPPI and CPDO
- Levy vs Gaussian driven dynamic processes
- Correlating multivariate Levy spread processes
- Accessing risks on CPPI and CPDO under Levy and Gaussian models
Pricing TABX: adapting standard one factor market models
- The importance of the ABS market
- CDS of ABS and Pay-As-You-Go (PAUG)
- Benchmark for CDS of ABS
- ABX.HE / TABX and the ABS correlation market
- Gaussian and Levy Base Correlation for TABX
- Risk neutral prepayment speeds
15:30 - 15:45 Break
15:45 - 17:30 Portfolio Credit Derivatives Modelling:
Presenter: Salah Amraoui: Structured Credit Trading, BNP Paribas
- Pricing of portfolio credit
- Copula approaches and default time modelling
- Factor copulas
- Analytical pricing and Monte Carlo simulation
- Risk management and factor aggregation
Day 1: Credit Derivatives: After the Credit Crunch: Pricing, Hedging, Modelling & Trading Techniques | Day 2: Credit Derivatives: After the Credit Crunch: Pricing, Hedging, Modelling & Trading Techniques | Day 3: "After The Storm: The Future of Structured Credit" | Details: | download pdf
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Day 3: "After The Storm: The Future of Structured Credit" | |
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Presenter:
Jon Gregory: Global Head of Credit Derivatives Research, Barclays Capital
Lessons to be learned
- The correlation crisis of 2005
- The subprime meltdown of 2007
- Pricing issues
- Risk management issues
- The role of the rating agencies
Coping with CDO pricing
- Dealing with strike, maturity, region and spread level
- Super senior pricing
- Tackling more advanced structures (long/short, amortising)
- Prepayment risk (LCDX and ABS CDOs)
Proper risk management of CDOs
- Idiosyncratic vs systemic risk
- Credit risk
- Correlation risk
- Default risk
- Cross sensitivities
Other leverage structures
- Portfolio TRS structures
- CPPI and CPDO
- LSS and CDPCs
- Rating agency approaches
Day schedule: 09:00 – 17:00
Break: 10:30 – 10:45
Lunch: 12:30 – 13:30
Break: 15:15 – 15:30
Day 1: Credit Derivatives: After the Credit Crunch: Pricing, Hedging, Modelling & Trading Techniques | Day 2: Credit Derivatives: After the Credit Crunch: Pricing, Hedging, Modelling & Trading Techniques | Day 3: "After The Storm: The Future of Structured Credit" | Details: | download pdf
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Details: | |
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Location:
Jurys Clifton Ford Hotel
47 Welbeck Street
London W1G 8DN
Hotel Website
Nearest Tube: Bond Street
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.
Day 1: Credit Derivatives: After the Credit Crunch: Pricing, Hedging, Modelling & Trading Techniques | Day 2: Credit Derivatives: After the Credit Crunch: Pricing, Hedging, Modelling & Trading Techniques | Day 3: "After The Storm: The Future of Structured Credit" | Details: | download pdf