Credit Risk and Credit Derivatives Modelling

30 - 1 July, 2008
London



This practical two-day course will cover the key theoretical aspects of credit risk and credit derivatives along with practical application and modelling techniques.

Not only will delegates gain a deeper understanding of the principles of a range of credit risk models and major credit derivatives but also their pricing structure, methodologies and implementation.

At the end of the course, delegates will have a set of credit modelling tools that can be applied immediately to their working environment and developed further into more robust applications and pricing systems.

This agenda covers:

  • Credit scoring models and ratings analysis
  • Structural and reduced-form credit risk modelling
  • Transition matrices and Markov theory
  • Determining risk-neutral default probabilities
  • Pricing credit default swaps
  • Implementing collateralised debt obligation models




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