The Mathematics of Credit Derivatives: The Essential Credit Modelling and Pricing Companion
by Philipp J. Schönbucher,
WBS Training, August 2003, DVD / Interactive CD-ROM
| |  | This 2-day seminar on 3 DVDs now reduced in price for DefaultRisk.com visitors only.* Note that this is a training seminar on DVD rather than a book although Dr. Schönbucher has written a book. The 3 DVD package would be ideal for group training/refreshing or as a corporate library resource. | | |
* For DefaultRisk.com visitors only. This item's Academic Discount is not £199.00 (was £299.00). Its regular price is now £299.00 (was £399.00).
| The Credit Derivatives phenomenon since the expansion into the investment-banking sector now firmly finds itself in a worldwide boom. The advancements into quantitative modelling has left it almost impossible for professionals not to directly address this product to run along side the more traditional. The Mathematics of Credit Derivatives DVD / CD-ROM for the first time offers a worldwide audience a unique chance to view the Credit Derivatives arena via Philipp J.Schönbucher's twice fully sold out training event "The Mathematics of Credit Derivatives" Central London February 17th / 18th & 14th / 15th May 2003. This DVD will take the viewer from the basics of the Credit Derivatives through to intermediate and on to more advanced topics. The DVD is not however positioned just for high level quants teams but as the research is predominantly new will benefit academics and practitioners alike at all levels "I designed the course in such a way that there should be something in it for everybody" Schönbucher. The 6 hour 3 DVD package encompasses the key topics from the 2-day seminar detailing the latest developments in the pricing and risk management of Credit Derivatives, with total audience interaction. The seminar examines in depth state-of-the-art techniques of modelling and hedging the risks of single-name credit derivatives, through to the most recent developments in the modelling and pricing of portfolio and basket credit risks. A key tool of this package coupled with the DVD is the CD-ROM which includes excel spreadsheet case studies using real-world data (quoted prices, CD's rates, historical default rates), pre-course reading for each section and a printable copy of the complete course material from The Mathematics of Credit Derivatives training seminar. | I would also recommend Philipp Schönbucher's book.
Credit Derivatives Pricing Models: Model, Pricing and Implementation
by Philipp J. Schönbucher, John Wiley & Sons, January 15, 2003, Hardcover, 600 pages |
Jacket Content:
The mathematical models of credit risk which are used to price and risk-manage credit derivatives are a challenging and complex subject. In this DVD-set, Philipp J. Schönbucher introduces, explains and critically discusses the most important mathematical models on this subject.
Credit Default Swaps:
- Detailed discussion of payoffs, risk and potential
- Payoff streams, the delivery option, cash- or physical settlement?
- Variants of CDSs: Default Digital Swaps, Credit-Linked Notes
Hedging with the Underlying Bond:
- The CDS-Asset Swap basis trade: Risks and Returns
- When is the asset swap spread a good indicator of the CDS spread?
- How close is the link between underlying bond and credit derivatives?
- How can we exploit mispricing?
Intensity-Based Models:
- Backing out implied default probabilities from observed market prices and reusing these probabilities to price other instruments
- Intensities, hazard rates, (conditional) survival probabilities: A suitable framework to think about the term structure of default risk?
- How large is the influence of the expected recovery rate on the implied default probabilities?
- Poisson processes and processes with stochastic intensities: Useful properties
- Case Study: Calibration of a term structure of hazard rates from bond prices.
Firm's Value Models:
- The Black-Scholes / Merton model: How does it work, how can we calibrate?
- Why does the Merton model have so many problems in practice and where can we improve it?
Basket- and Portfolio-Credit Derivatives:
- First-to-Default Swaps: A new variant of the CDS
- How is the spread of the FtD related to the spreads of the underlying CDS?
- Transferring portfolio credit risk using loss tranches of CDOs
- What are the new risks of basket- and portfolio credit derivatives? How can we handle default correlation risk?
Models for loss distributions:
- Moody's Binomial expansion technique:
- How does it work and is it useful for pricing?
- Alternative models for large portfolios: Factor models with loss distributions in closed-form
- Case study: Calibration of the model to historical data
- Are equity correlations a good indicator for asset correlations?
Models for joint default times: The Copula-Approach:
- Why do we need to model timing risk?
- What is a Copula?
- The Gauss copula and the t-copula: What is the difference and why is sometimes one preferred over the other?
- The copula-transformation: From default events to default times.
Author & Trainer:
Dr. Philipp J. Schönbucher is assistant professor of 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. Furthermore, he is author of a book on "Credit Derivatives Pricing Models" (J. Wiley & Sons, 2003), and he is consultant and professional trainer to a number of leading financial institutions.
