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Description of The Mathematics of Credit Derivatives |
NOTE: ACADEMICS BENEFIT FROM A REDUCED PRICE OF �299 FOR THIS PRODUCT. (to qualify you must be in full time education or be a Professor/Doctor)
If you are an academic and want to order it, please email bookshop@global-investor with the words 'Academic purchase of Schobucher DVD 17079' in the subject.
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.Schonbucher's three times fully sold out training event 'The Mathematics of Credit Derivatives' held in Central London during 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" says Schonbucher.
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. Schonbucher 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
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Contents of The Mathematics of Credit Derivatives |
The 6 hour 45 minutes 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 & further reading and a printable copy of the complete course material from The Mathematics of Credit Derivatives training seminar.
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About Philipp J. Schonbucher |
Prof. Philipp Schonbucher 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, he is consultant and professional trainer to a number of leading financial institutions.
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