The Mathematics of Credit Derivatives

Venue: Times Square Hilton

Location: New York City, United States

Event Date/Time: Jan 26, 2004
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The Mathematics of Credit Derivatives
Course Dates: 22nd / 23rd March 2004
Course Location: New York
A 2 - Day course led by Prof. Philipp Schönbucher

Due to three successful London based Credit Derivatives events in 2003, WBS Training are now taking one of the Europe’s most popular Credit Derivatives events to the Americas in 2004.

Who should attend?
Counter-party risk Credit Risk Risk Management
Credit Derivatives Financial Engineering Structured Finance
Credit Research Quantitative Analysis Structured Credit Products

Course Leader: Prof. Philipp Schönbucher
Prof. Philipp J. Schönbucher is assistant professor of Quantitative Risk Management at the Department of Mathematics of the Swiss Federal Institute of Technology (ETH) Zurich. He holds degrees in mathematics (Oxford) and economics (Bonn) and a PhD in economics (Bonn). His publications include papers on credit risk modelling, credit derivatives pricing, stochastic volatility modelling, option pricing in illiquid markets, real options and term structure models. His main area of research is credit risk modelling and credit derivatives pricing in which he has been active since 1996. Philipp is a consultant and professional trainer to a number of leading financial institutions. Furthermore he is author of a book on “Credit Derivatives Pricing Models” (Wiley, 2003).

Aim of the course
This course covers the latest developments in the pricing and risk management of Credit Derivatives. The first day examines state-of-the-art techniques of modelling and hedging the risks of single-name credit derivatives, whilst in the second day you will learn the most recent developments in the modelling and pricing of portfolio and basket credit risks. Each major model is illustrated with a practical case study. All cases studies use real-world data (quoted prices, CDS rates, historical default rates).

All delegates will receive a complimentary copy of Philipp Schonbucher’s “Credit Derivatives Pricing Models” Wiley May 2003.

Pre Course Service:
Pre - course Questionnaire: Enables delegates to inform the course trainers what they specifically require from this event, equally allowing the course trainer a prior knowledge of their audience.
Pre - course Reading: An exhaustive list of relevant papers for preparation and suggestions for future research. The reading allows delegates an incite into what the event shall actually focus on, however most importantly preparing delegates fully to maximise the event taking them to the academic point where the course material takes over.