DefaultRisk.com the web's biggest credit risk modeling resource. | 
|
|
|
Fixed Income Derivatives Week: Inflation Linked, Interest Rate/Hybrid, Credit Derivatives, CDO & CDO^2 workshop week | ||||||
Extra Discounts available only to DefaultRisk.com visitors: | ||
| Any One day: $1399.00 |
|
Day 1: Introducing Inflation-linked Securities and Derivatives: Introductory / Intermediate
Presenters:
David Murphy & Andrew Street
Topics Covered:
· Understanding Inflation
· Inflation-Linked Securities: The Standard Bond Structure
· Investors and the Demand for Inflation-Linked Products
· Inflation-Linked Securities: Perspectives for Traders and Issuers
· Building the Inflation Curve
· Structuring Effective Inflation-Linked Products
· Pricing and Trading Derivatives on Inflation
Day 2: Latest Developments of Inflation-linked Derivatives
Presenters:
Gang Hu: Associate Director of U.S. Inflation Trading, Barclays Capital
Lane P Hughston: Professor of Financial Mathematics, King's College
Dariush Mirfendereski: Head of Inflation Linked Trading, UBS
Topics Covered:
· Models for real interest rates and inflation: New Directions
· General theory of inflation dynamics
· "Hidden variables" models for inflation
· Practical Perspectives on Pricing, Trading, and Hedging Inflation-Indexed Derivatives - from the Dark Ages to the Present
· The Road Ahead: what to watch out for in this fast developing market
· A Users' Manual on Inflation Derivative Products
· iStrips
· Structured Products on the market
· Potential structures that might be of interest to the market, and general view on the outlook of the inflation derivative market.
Day 3: Latest Developments: Interest Rate Derivatives / Interest Rate Hybrid Products
Presenters:
Tariq Dennison: Vice President, Bear Sterns
Lane P Hughston: Professor of Financial Mathematics, King's College
Chris Hunter: Managing Director: BNP Paribas
John Uglum: Executive Director: Morgan Stanley
Topics Covered:
· Overview of the General Theory of Interest Rate / Hybrid Models
· Pricing and Hedging of Callable Exotic Swaps
· The LIBOR market model and stochastic volatility extension
· Solving the stochastic control problem using Monte Carlo
· Practical implementation issues and variance reduction techniques
· Complete overview of Interest Rate / Equity Hybrids
· Correlation Smile and Hybrid Pricing
Day 4: The Latest Developments: Credit Derivatives
Presenters:
Aaron Brown: Head of Credit Risk Architecture, Morgan Stanley
Jon Gregory: Global Credit Derivatives: Barclays Capital
Paul Glasserman: Professor of Risk Management, Columbia Graduate School of Business
Marco Naldi: Senior Vice President: Quantitative Credit Research: Lehman Brothers
Topics Covered:
· The Correlation Skew and Correlation Modelling
· The Gaussian Copula Model and Beyond
· The Correlation Skew and Base Correlations
· Fast Pricing of Exotic Tranches
· Conditional tranche curves
· Forward starts, subordination step-ups and more
· Monte Carlo forCredit Risk and Credit Derivatives
· Fast pricing of basket default swaps
· Accelerating Monte Carlo by increasing default rates
· Working at the Event Horizon: Credit Risk Near Default Events
· Models of default events, the good, the bad and the ugly
· I wonder how wide spreads are today: Does credit derivative liquidity around default events matter?
Day 5: The Latest Developments: CDOs & CDO^2
Presenters:
Terry Benzschawel: Director of Qualitative Credit Modeling and Analytics, Citigroup
David Li: Head of Quantitative Analytics Credit Derivatives, Barclays Capital
Michael Liang: Quantitative Analytics Credit Derivatives, Barclays Capital
Maximo Silberberg: Vice President, Structured Credit, JP Morgan
Topics Covered:
· Overview of CDOs
· CDOs: Credit Selection, Trade Construction, and Portfolio Optimization
· CDO Equity as an Asset Class
· CDOs in Portfolios of Traditional and Alternative Assets
· Customizing CDO Tranche Trades
· Credit Portfolio Correlation Skew Modelling
· Alternative Bespoke CDO pricings
· Market overview for synthetic CDO^2
· CDO2 pricing: Price a CDO2 consistently with the pricing of the underlying CDOs
· Construction of synthetic CDO^2
· Further extensions of CDO^2 technology
Please contact me with problems or suggestions. |
