Credit and Counterparty Risk Modelling 2015
October 28 - 30, 2015
london , United Kingdom
A practitioner-focused guide to the tools, techniques and implementation mechanics for dealing with credit and counterparty risk in today's volatile markets.
This course examines some leading models for the pricing of credit default risk and the valuation of defaultable credit derivatives. The models are presented in a simplified fashion, with examples, so as to make the details of the engineering process more accessible. The role of interest rate risk, default risk and recovery risk are all given play in these models. The methodologies developed are then applied to address various issues and topics in counterparty credit risk. You will examine recent modelling issues of funding and market liquidity, basis risk and counterparty risk, credit support annex, CSA discounting, CVA, DVA, LVA, FVA. We look at pricing and managing counterparty risk: wrong-way risk and liquidity issues.
Event Time: 9:00 am to 5:30 am.
Event Category: Classes / Courses | Academic / Learning.
Website: http://atnd.it/26811-0
Price: Standard - GBP 2,758.80.
This course examines some leading models for the pricing of credit default risk and the valuation of defaultable credit derivatives. The models are presented in a simplified fashion, with examples, so as to make the details of the engineering process more accessible. The role of interest rate risk, default risk and recovery risk are all given play in these models. The methodologies developed are then applied to address various issues and topics in counterparty credit risk. You will examine recent modelling issues of funding and market liquidity, basis risk and counterparty risk, credit support annex, CSA discounting, CVA, DVA, LVA, FVA. We look at pricing and managing counterparty risk: wrong-way risk and liquidity issues.
Event Time: 9:00 am to 5:30 am.
Event Category: Classes / Courses | Academic / Learning.
Website: http://atnd.it/26811-0
Price: Standard - GBP 2,758.80.
Venue
Location: Radisson Blu Edwardian Grafton
Contact
Radisson Blu Edwardian Grafton 130 Tottenham Court Road Road, London W1T5AY london , United Kingdom
+44 (0)20 76665477
+44 (0)20 76665477
Organizer
Related events
Credit and Counterparty Risk Modelling October 28 - 30, 2015
