To ensure we meet your expectations and maximise your return on training investment, we favour a classroom/workshop set up for the delivery of our courses. Please note we have therefore limited number of spaces available and these will be assigned on a first come, first accepted basis. We recommend early booking to avoid disappointment.

“Create stable and functional models in a new market environment…”

How will you benefit?

Credit risk and derivatives models have witnessed considerable difficulties and failures during the crisis. Furthermore, counterparty risk pricing (CVA) increased reaching levels hardly seen before.

However, many of the models limitations and drawbacks were known well in advance of the crisis, and many critical features of CDOs and CVA such as lack of consistency and wrong way risk had been pointed out before.

This advanced workshop will address such early warnings and cover an updated analysis of features that emerged strongly during the crisis, including the CDS big bang, the inadequacy of copula models, the impact of credit volatility, the dynamics of credit correlation, the inadequacy of simplistic multipliers to price counterparty risk and the non-negligible role of wrong way risk. Future developments in the credit market will be discussed and concepts will be illustrated by numerical examples with real financial cases.

· Learn about CDS contracts and ISDA®'s big bang

· Witness the neglected role of credit volatility

· Understand the poor modelling of credit correlation

· Understand liquidity modeling for CDS

· Appreciate negative losses and other no-arbitrage violations in copula models for CDO

· Learn about possible dynamic models of credit correlation

· Explore advanced features of counterparty risk (CVA) pricing

· Address unilateral vs. bilateral CVA valuation

· Measure CVA across asset classes

· Appreciate the importance of wrong way risk and how to model it precisely

· Establish the importance of credit volatility for CVA

· Overcome the inadequacy of Basel II deduced multipliers for CVA

· Discover how to assess the precise impact of dynamics on CVA

About your expert trainer:

Damiano Brigo has recently been appointed as Gilbart Professor of Financial Mathematics at King's College, London, heading the College research efforts in financial modelling. Damiano is on leave from his role of Managing Director and Global Head of the Quantitative team