Default Correlation: Principles and Pricing in EXCEL™

CDOs: Mechanisms and Uses
  • Cash CDO and synthetic CDO
  • Arbitrage CDO and balance sheet CDO
  • Types of collateral: bond, loan, ABS, squared CDO
  • Single tranche or Bespoke CDOs
  • Index tranches (iTraxx)
Risk Analysis and Pricing
  • Default risk
  • Spread risk
  • Correlation risk
  • Pricing CDOs using Gaussian copulas
  • Practical Workshop
  • Value a CDO tranche using the Monte Carlo method in EXCEL™
Introduction to CDO Hedging and Trading
  • Effects of various parameters
  • (credit spreads, correlation, instantaneous default, etc.)
  • Delta hedging
  • Spread convexity and gamma
  • Base correlation
  • Correlation trading
  • Practical workshop
  • Long Equity/Short Mezzanine strategies

  • Know the fundamentals of pricing basket products
  • Know the principles of Single Tranche CDO coverage
  • Concrete and operational approach to correlation
  • Elaborate a Monte Carlo pricer

    • E-learning
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