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Delegate Event Details:
Location:
Jurys Clifton Ford Hotel,
47 Welbeck Street,
London W1G 8DN
WEB:
Hotel Website
Nearest Tube: Bond Street
Registration:
Monday 4th: Commences at 08:00 with early morning coffee Bulstrode Suite.
Tuesday 5th: Commences at 08:00 with early morning coffee Henry Hallam room.
Wednesday 6th: Commences at 08:00 with early morning coffee Bulstrode Suite.
The workshop will run from Monday 4th December: 08:30 (prompt) to 17:00. Tuesday 5th December: 08:30 (prompt) to 17:30. Wednesday 6th December: 08:30 (prompt) to 17:30, with breaks for morning coffee, lunch and afternoon tea all of which will be provided within the hotel complex on all three days (all food and drink is included in the workshop fee).
Note: The cocktail party taking place on Tuesday 5th December (17:30 - 19:30) is available to ALL DELEGATES (attending one, two or all three workshop days).
DAY 1: Credit Derivatives: From Basic - Hybrids Workshop
- Single-Name Credit Risk Models
- Term structures of hazard rates and credit spreads, implied survival probabilities
- Structural models, Merton, Black-Cox, Credit-Equity hybrids and latest developments in structural models
- Portfolio Credit Risk Models
- Basic model-free Single-Tranche CDO pricing relationships
- Copula models, Gauss copula, the market standard model, implied correlation
- Numerical techniques forfactormodels: Convolution, Fast FourierTransforms
- Numerical techniques forsimulation models: Importance sampling, sensitivities with Likelihood-ratio methods
Presenter:
Phillip Schönbucher: Assistant Profressor, Risk Management, (ETH) Zurich
DAY 2: Latest Developments: Credit Derivatives Modelling Techniques
- Complete overview of Modelling Correlation Skews
- The Gaussian Copula Model and Beyond
- Correlation Market Dynamics and Skew Models
- A Correlation Skew Model with Sensible Dynamics
- Comparing Base Correlation with Market Dynamics
- Latest developments in CDOs
- Bespoke CDO Pricing- Determining the Correlation Skew from Portfolio Composition
Presenters:
Jon Gregory: Global Credit Derivatives, Barclays Capital
Lutz Schloegl: Fixed Income Quantitative Research, Lehman Brothers
DAY 3: Latest Developments: Credit CPPI & Credit Hybrid Products
- Market overview of Credit CPPI
- CPPI, Comparisons and Differences Vis a Vis CPPI, Leverage Rules
- The Loss-Market-Model: Pricing Portfolio-Credit - Interest-Rate Hybrids and exotic Portfolio Credit Derivatives
- Applications of the Model: Forward-starting CDOs, Options on Indices, Options on Tranches, Hybrid Products with Credit Correlation Components
- Dynamic Credit Correlation Models and Hybrids
- Intrinsic Credit-Equity Hybrids: EDSs and Convertible Bonds
- Extrinsic Hybrids: Mezzanine Swaps and Credit Linked Options
Presenters:
Didier Campant: Credit Structurer, Associate Director, BNP Paribas
Philipp Schönbucher: Assistant Professor, Risk Management, (ETH) ZURICH
Alicia Vidler: Merrill Lynch
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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 201352
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.