Fees: Workshops: £999:00
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Register to ALL THREE workshop days and receive £300 discount

Latest Developments: Credit Derivatives / Credit CPPI & Credit Hybrids Monday/Tuesday/Wednesday 27/28/29th March 2006
Central London

Day 1: Credit Derivatives: From Basic - Hybrids Workshop

Presenter: Philipp Schönbucher, Assistant Professor, Risk Management, (ETH) Zurich

Topics Covered:

• 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 for factor models: Convolution, Fast Fourier Transforms
• Numerical techniques for simulation models: Importance sampling, sensitivities with Likelihood-ratio methods

Day 2: Latest Developments: Credit Derivatives Modelling Techniques

Presenters:

Jon Gregory: Global Credit Derivatives: Barclays Capital
Lutz Schloegl: Fixed Income Quantitative Research, Lehman Brothers

Topics Covered:

• 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

Day 3: Latest Developments: Credit CPPI & Credit Hybrid Products

Presenters:

Rishad Ahluwalia Structured Products Research, JPMorgan Securities
Claudio Albanese: Chair of Mathematical Finance, Imperial College London
Didier Campant: Credit Structurer, Associate Director, BNP Paribas
Philipp Schönbucher, Assistant Professor, Risk Management, (ETH) ZURICH

Topics Covered:

• Market overview of Credit CPPI
• Portfolio Insurance Strategies and CDOs
• An introduction to Credit SPI/CPPI
• 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

Day 1: Credit Derivatives: From Basic - Hybrids Workshop
08:30 – 17:00 Philipp Schönbucher, Assistant Professor, Risk Management, (ETH) ZURICH

Single-Name Credit Risk Models:

• Term structures of hazard rates and credit spreads, implied survival probabilities
• Reduced-form models, the Cox Process approach
• 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
• Model-free representation of arbitrage-free loss distributions.
• Copula models, Gauss copula, the market standard model, implied correlation.
• Multivariate intensity models, joint Cox process assumptions, factor-structures in multivariate intensity models
• Numerical techniques for factor models: Convolution, Fast Fourier Transforms
• Numerical techniques for simulation models: Importance sampling, sensitivities with Likelihood-ratio methods

Day 2: Latest Developments: Credit Derivatives Modelling Techniques

08:30 – 11:45 Jon Gregory: Barclays Capital

3 Hours

The Correlation Skew and Correlation Modelling

• The Gaussian Copula Model and Beyond
• The Correlation Skew and Base Correlations
• Why Do We Want a Skew Model?
• Local and Stochastic Correlations
• Hedging and Risk Management Considerations

10:30 – 10:45 Break

11:45 – 15:15 David Shelton: Citigroup

2 hours 30 minutes

Latest developments in CDOs

• Bespoke CDO Pricing- Determining the Correlation Skew from Portfolio Composition
• Tranche Forwards and Options
• Leveraged Supersenior- Market Triggers on Spread and Loss.
• Spread based models- What characteristics should the model have?
• Systemic and Idiosyncratic Risk Factors.
• Implications for Hedging

12:45 – 13:45 Lunch

15:15 – 15:30 Break

15:30 – 17:30 Dominic O’Kane: Lehman Brothers

2 hours

Correlation Market Dynamics and Skew Models

• Base correlation: the good, the bad and the ugly
• Comparing base correlation with market dynamics
• Proper skew models
• A correlation skew model with sensible dynamics

Cocktail Party 17:30 – 19:30

Day 3: Latest Developments: Credit CPPI / Hybrid Products

08:30 – 09:45 Didier Campant: BNP Paribas

1 Hour 15 Minutes

Market overview of Credit CPPI

• Product description
• Strategies
• Gap risk challenges: Pricing and Risk Management
• Perspectives

09:45 – 11:00 Rishad Ahluwalia: JP Morgan Securities

1 Hour 15 Minutes

Portfolio Insurance Strategies and CDOs

• An introduction to Credit SPI/CPPI
• Underlying credit risky strategies
• Pay-off profiles for CDO tranches
• Risk management issues

11:00 – 11:15 Break

11:15 – 14:45 Philipp Schönbucher: (ETH) ZURICH

2 Hours 30 Minutes

The Loss-Market-Model: Pricing Portfolio-Credit - Interest-Rate Hybrids and exotic Portfolio Credit Derivatives

• Requirements of index-option pricing
• A concise representation of the full loss distribution
• Calibration to the correlation smile
• Equipping the loss distribution with arbitrage-free dynamics
• Parametrisation of the dynamics: Stochastic spreads
• Adding interest-rate dynamics
• Discrete-Time Representation with simply compounded transition rates
• Applications of the model: Forward-starting CDOs, options on indices, options on tranches, hybrid products with credit correlation components.

12:30 – 13:30 Lunch

14:45 – 17:30 Claudio Albanese: Imperial College London

2 Hours 30 Minutes

Dynamic credit correlation models and hybrids

• Credit barrier models on functional lattices
• Intrinsic credit-equity hybrids: EDSs and convertible bonds
• High dimensional lattice models for CDOs
• Stochastic volatility models, correlation risk and vega risk
• Extrinsic hybrids: mezzanine swaps and credit linked options

15:30 – 15:45 Break