DAY ONE - MONDAY 31 MAY

08:00 Refreshments and registration

08:30 Credit Derivatives and credit models: foundations
• Most important credit derivatives
• Reduced-form approach with credit volatility and spread jumps
• Structural approach: latest generation

11:00 Morning break

11:30 Modelling for credit portfolio derivatives: part one
• Indices, CDO, first-to-default, other correlation derivatives
• The copula market model

12:30 Lunch

13:30 Modelling for credit portfolio derivatives: part two
• Analysis and implementation

15:00 Afternoon break

15:30 Measuring counterparty risk
• Counterparty risk for swaps, foreign exchange, commodities
• Counterparty risk for equity
• Portfolio counterparty risk with netting and wrong way risk

18:00 End of day one

DAY TWO - TUESDAY 1 JUNE

08:00 Refreshments and registration

08:30 Credit and the global financial crisis
• Regulation and changes

09:30 Morning break

10:00 Model risk and validation of credit models
• Stress testing credit risk: mistakes to avoid
• Managing the model risk by using different models
• Using comparables and appropriate backtesting for bespoke portfolios

13:00 Lunch

14:00 Beyond the limits of Gaussian copula
• Random recovery
• Clever correlation modelling
• Dynamic models

15:30 Afternoon break

16:00 Term structure modelling after the credit crunch
• Separating discounting from forwarding for collateralised derivatives
• Credit and liquidity risk in the rates market
• Understanding basis risk and the changes in swap pricing

18:00 Close of course