Credit Derivatives Week

Venue: London

Location: London, United Kingdom

Event Date/Time: Mar 26, 2007
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Description

Day 1: Latest Developments: Collateralized Debt Obligations
Evolution of CDO correlation models:
Gaussian copula; base correlations; extensions
Modeling correlations by dynamic conditioning
Pricing concentration bespoke tranches
Temporal aggregation of realized correlation
Optimal dynamic hedging in a dynamic spread-default environment
Presenters:

Claudio Albanese: Bloomberg LP, New York & Imperial College London
Dariusz Gatarek: Credit Analyst, GLENCORE
Vivek Kapoor: Executive Director, UBS Investment Bank
Richard Martin: Director, Head of Quantitative Credit Strategy, Credit Suisse

Day 2: Pricing Issues in Structured Credit
Structural models and asset correlation
Pricing of synthetic CDO tranches
Implementing Copula models, analytical and Monte Carlo pricing
Pricing bespoke portfolios
Copula Skew Models
CPDOs
Models forGap Risk
Advanced Models and Exotic CDOs
Presenter:

Jon Gregory: Global Head of Credit Derivatives Research, Barclays Capital

Day 3: Pricing Models for Credit Hybrid Securities
Hybrid risk factorcomponent
Dependency between credit risk and hybrid risk
Intensity-based models
Copula models: How to incorporate external risk factors into a default-time model
Credit Equity Hybrids
Credit interest-rate hybrids
Credit FX hybrids
Credit Commodity hybrids
Presenter:

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

Day 4: Credit Correlation: Interpolation, Extrapolation and Dynamics
Credit Correlation: Interpolation, Extrapolation and Dynamics
Problems with Base Correlation
Implied Loss Surfaces
Mapping Correlation on Bespoke Portfolios
Dynamical Loss Models for next Generation Products
Presenters:

Damiano Brigo: Head of Credit Models, Banca IM
Roberto Torresetti: Quantitative Analyst, Banca IMI

Day 5: Credit CPPI & CPDOs
The CPPI structure in the equity world
The CPPI in the credit universe
Characteristics of a CPPI strategy
Designing a CPPI correlation trade
Fully-managed Credit CPPIs
Credit spread / Jump-to-default / Credit correlation
Practical Calibration of the Models
CPDOs

Presenters:

Jerome Brun: Head of Quantitative Credit Research, Société Générale
Julien Turc: Head of Quantitative Credit Strategy, Société Générale

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