O'Kane Credit Risk Seminar: Pricing and Risk-Managing Credit Derivatives
15-16 May, 2008 - The Dorchester, London
Fuelled by new products, innovative applications, and the many advantages they have over traditional credit assets, credit derivatives have grown to a size of $45 trillion and have utterly revolutionised credit markets. Credit derivatives have provided new ways for investors to assume credit risk and new tools to protect portfolios from credit events. Presenting risk profiles which differ greatly from traditional credit assets, credit derivatives represent new opportunities for investment and risk management, but also impose significant valuation and hedging challenges on their users.
This intensive seminar equips participants with a thorough appreciation of credit derivatives and their uses, and imparts the practical knowledge required to implement state-of-the-art pricing and risk management models for these products.
Seminar Instructor:
The seminar is designed and delivered by Dominic O'Kane, PhD, Affiliated Professor of Finance at EDHEC Business School, an expert in the theory and practice of credit risk modelling.
Key Learning Benefits:
The seminar reviews credit risk modelling, explores the mechanics, valuation and risk management of asset swaps, CDS, CMDS, and CDS indices. It also covers options on CDS and CDS indices. A major focus of the seminar is the pricing and hedging of synthetic CDOs and bespoke tranches. It concludes with an analysis of dynamic credit derivatives including credit CPPI and the CPDO. The seminar also discusses the extension of the credit derivatives market to the area of asset-backed credit risk, including subprime.Stressing high-level understanding, including numerous worked examples, and addressing technical issues, the seminar draws upon the instructor’s considerable market experience and research expertise and provides unparalleled practical insights into the effectiveness and efficiency of alternative methods and models for pricing and hedging single- and multi-name credit derivatives.
As such, the O’Kane Credit Risk Seminar should appeal to all professionals in search of a thorough understanding of the workings, valuation, and risk management of credit derivatives, whether their organisations view these markets from the vantage point of traders, hedgers, or long-term investors.
Who Should Attend:
The programme is intended for investment professionals who need to understand the mechanics and risk characteristics of credit derivatives as well as related pricing and risk management models. It should be of particular interest to practitioners responsible for investment policy, investment analysis, asset structuring, trading, risk control, and portfolio-wide risk management such as CROs and risk management/control officers; heads of research and quantitative analysts; CIOs, portfolio managers and senior investment officers; traders and asset structurers; and credit portfolio managers from hedge funds, investment banks, credit institutions, asset management companies, pension funds, insurance companies, and other institutional investors, and consultancies and software vendors.
CFA Institute Continuing Education Programme:
EDHEC Asset Management Education is registered with CFA Institute as an Approved Provider of continuing education programs. This program
is eligible for 14 CE credit hours as granted by CFA Institute. If you are a CFA Institute member, CE credit for your attendance at this event will be automatically recorded in your CE Diary. More information is available at www.cfainstitute.org/ceprogram.
O'Kane Credit Risk Seminar:
Attachments
