Credit Derivatives Pricing Course Pricing CDS, Basket Default Swaps and CDOs in Excel/VBA
- Objective:
- A two (2) day training programme for credit derivatives traders and credit structuring and sales professionals to provide a detailed analysis of pricing issues in Credit Default Swaps, Basket CDS (multi-name CDS) and CDOs
- Methodology:
- The training will be carried out using problem solving methodology and make use of case studies and Excel spreadsheets and making use of user defined macros and VBA functions.
Curriculum:
Day 1 : Morning Session (9:30 am to 12:30 pm)
Monte Carlo Simulation & Copulas in Excel/VBA
- Multiasset Monte Carlo simulation using Cholesky decomposition;
- Multiasset Monte Carlo simulation using PCA (principal components analysis)
- Estimating Gaussian Copulas;
Day 1 : Afternoon Session (2:30 pm to 5:30 pm)
Pricing CDS and F2D, N2D Baskets in Excel/VBA
- Pricing single name CDS using MC simulation;
- Pricing multi-name CDS (F2D, N2D Baskets, Portfolio CDS) in MC simulation;
- Pricing Credit Linked Notes using Numerical Estimation;
Day 2 : Morning Session (9:30 am to 12:30 pm)
Pricing CDO in Excel/VBA
- Pricing CDOs with zero correlation in MC simulation;
- Pricing CDOs with non-zero correlation in MC simulation;
- Pricing & Structuring related issues in CDOs
Day 2 : Afternoon Session (2:30 pm to 5:30 pm)
- Estimation of Default Probabilities using Structural Approach;
- Estimation of Default Probabilities using Reduced form models;
- CDS pricing using structural and reduced form models;
- Basket default swap pricing using reduced form models;
Course Fee: US$3,000 (USD Three Thousand only) per day.
Trainers : Any one of the following trainers will conduct the programme:
Rahul Bhattacharya, M.Sc. (Nuclear Physics), MBA (Finance)
Arvind Kumar, M.Tech (Chemical Engineering), MBA (Finance)
All our trainers have extensive experience in training and conducting workshops, focus group modules & tutorials and project work with front and middle office bankers and investment bankers in Asia ( Hong Kong , Singapore and Tokyo ).
9/F Somptueux Central | 52 - 54 Wellington Street | Central | Hong Kong
Phone: +852 3752 0619
Fax: +852 3752 0662
Email: team@risklatte.com Web: www.risklatte.com
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