Credit Derivatives: Master Class. John Hull, Jon Gregory, & Philipp Schonbucher

Venue: New York

Location: New York, United States

Event Date/Time: Apr 23, 2007 End Date/Time: Apr 25, 2007
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Day 1: John Hull: Professor of Derivatives & Risk Management, Rotman School of Management, University of Toronto
John Hull is the Maple Financial Group Professor of Derivatives and Risk Management in the Joseph L. Rotman School of Management at the University of Toronto. He is an internationally recognized authority on derivatives and has many publications in that area. Recently his research has been concerned with credit risk, executive stock options, volatility surfaces, market risk, and interest rate derivatives. He was, with Alan White, one of the winners of the Nikko-LOR research competition for his work on the Hull- White interest rate model. He has acted as consultant to many North American, Japanese, and European financial institutions.

He has written three books “Risk Management and Financial Institutions” (new this year), "Options, Futures, and Other Derivatives" (now in its sixth edition) and "Fundamentals of Futures and Options Markets" (now in its fifth edition). The books have been translated into many languages and are widely used in trading rooms throughout the world. He has won many teaching awards, including University of Toronto's prestigious Northrop Frye award, and was voted Financial Engineer of the Year in 1999 by the International Association of Financial Engineers.

In addition to the University of Toronto, Dr. Hull has taught at York University, University of British Columbia, New York University, Cranfield University, and London Business School. Earlier in his career he worked as a corporate planning analyst with British Shoe Corporation. He is an Associate Editor of eight academic journals.

Modelling Credit Derivative Products
Default Probabilities and Credit Default Swaps
Real World vs Risk Neutral Analysis
CDOs: The Standard Market Model
The Gaussian Copula Model
The Implied Copula Approach
Non-Standard Maturities
Non-Homogeneous Version of Implied Copula Model
Handling Bespoke Portfolios
Day 2: Jon Gregory: Global Head of Credit Derivatives Research, Barclays Capital
Jon Gregory works on the Global Credit Derivatives desk at Barclays Capital, previous to this he was global head of the research team for credit trading and derivatives at BNP Paribas. His main interest lies in reconciling theoretical and practical approaches for pricing, hedging and managing credit risk. He worked in the Fixed Income division of Salomon Brothers (now part of Citigroup) prior to joining Paribas in 1997. In addition to publishing papers on the pricing of credit risk and related topics, he is co-author of the best selling book "Credit: The Complete Guide to Pricing, Hedging and Risk Management", short-listed for the Kulp-Wright Book Award for the most significant text in the field of risk management and insurance. Jon gained a BSc from the University of Bristol in 1993 and was awarded his PhD from Cambridge University in 1996.

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
Models for Gap Risk
Advanced Models and Exotic CDOs
Day 3: Philipp Schönbucher, Assistant Professor, Risk Management, (ETH) Zurich
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).

Pricing Models for Credit Hybrid Securities
Hybrid Risk Factor Component
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
The Warwick New York Hotel
65 West 54th Street, NYC, New York 10019, USA
Tel: +1 212 247 2700 Fax: +1 212 247 2725