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| ▪ | Know the fundamentals of pricing basket products
| | ▪ | Know the principles of Single Tranche CDO coverage |
| ▪ | Credit risk - Advanced
| | ▪ | Discounting risky cash flows - Advanced
| | ▪ | Default event correlation - Advanced
| | ▪ | Delta hedge and gamma - Intermediate |
| ▪ | Concrete and operational approach to correlation
| | ▪ | Elaborate a Monte Carlo pricer |
| ▪ | Fund managers
| | ▪ | Interest rate and credit traders
| | ▪ | Interest rate and credit structurers
| | ▪ | Salespeople and financial intermediaries
| | ▪ | Middle office staff
| | ▪ | Internal controls, audit
| | ▪ | Risk departments
| | ▪ | Institutional investors |
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| 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
| | ▪ | Case Study
. Long Equity/Short Mezzanine strategies |
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DATES AND PRICES:
London:
08 Jun 2010(closed)
13 Oct 2010
Prices: 1,175 £
New York:
Date to be confirmed
Prices: 1,600 US$
Hong Kong:
Date to be confirmed
Prices: 1,850 US$
DURATION:
1 day
REFERENCE: gbcorrelation
Participants have rated this course 19.4 / 20
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