Credit derivative instruments have been badly hit with the financial crisis. It’s clearly essential to financial institutions to revise modelling techniques and methods used to manage the risks on these contracts. It is of major importance to review model pitfalls but also accuracy of techniques in order to move on to the next generation of modelling.

This timely workshop will cover the key aspects of credit risk at a single name and portfolio level. You will gain a deep understanding of the theory of credit risk models, credit derivatives through practical pc-based workshops illustrating the basic models. The course will cover the failure of credit risk models during the credit crisis and how they need to change in the future.

About   The Trainer

Dr. Jon Gregory

Independent Consultant and Author

Dr Jon Gregory is a financial consultant and trainer. Until 2008, he was Global Head of Credit Analytics at Barclays Capital based in London. Jon has worked on many aspects of credit modelling over the last decade, being previously with BNP Paribas and Salomon Brothers. In addition to publishing papers on the pricing of credit risk and related topics, he is co-author of the 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. He is author of the book “Counterparty risk: the next challenge for the global financial markets” to be published by Wiley Finance in December 2009.

Jon holds a PhD from Cambridge University.