The O'KANE Credit Risk Seminar 2008

Theseus-EDHEC MBA

Venue

The Dorchester,
London

15-16th May

Seminar Instructor

Dominic O'Kane joined EDHEC as Affiliated Professor of Finance after ten years with Lehman Brothers where he was a Managing Director and ran the European Fixed Income Quantitative Research group.

For most of his time at Lehman Brothers, Dr. O'Kane worked for the credit derivatives trading desk where he developed models for pricing and risk-managing a broad range of products. In 2005 he and his team were voted number one for Quantitative Credit Research and Modelling (Euromoney poll).

Dr. O'Kane has contributed to two books on fixed income and is the author of the forthcoming Modelling Single-Name and Multi-Name Credit Derivatives (Wiley).

Dr. O'Kane holds a PhD in theoretical physics from the University of Oxford.

NIKKI HARLE February 25, 2008

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.

Designed and delivered by an expert in credit risk modelling, 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.

It explores the mechanics, valuation and risk management of asset swaps, CDS, CMDS, and CDS indices. It covers options on CDS and CDS indices and discusses the extension of the market to the area of asset-backed credit risk, including subprime. Major attention is given to the pricing and hedging of synthetic CDOs and bespoke tranches. Credit CPPI and CPDO are also examined.

Fuelled by the many advantages they have over traditional credit assets, credit derivatives have grown to a $45 trillion market and have utterly revolutionised credit markets.

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Credit derivatives have provided new ways for investors to assume credit risk and new tools to protect portfolios from credit events and spread risk.

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.

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Take part in this exclusive seminar and:

» Find out who uses which credit derivatives and why

» Develop a thorough understanding of the mechanics and risks of single-name credit derivatives, CDS indices, and credit correlation products

» Learn to price and hedge CDS positions, default swap options, CDS indices and options on CDS indices

» Acquire advanced techniques to analyse, price and risk-manage synthetic CDOs and bespoke tranches

» Assess the competing approaches to capture the correlation smile: base correlation, copula models, dynamic models

» Understand the latest structured credit derivatives

Stressing high-level understanding, including numerous worked examples, and addressing technical issues, the seminar provides unparalleled practical insights into the effectiveness and efficiency of alternative methods and models for pricing and hedging single- and multi-name credit derivatives.

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