This course will start with an analysis of the credit risk counterparty and transaction-based models and move on to describing the models for evaluating a portfolio of counterparties. Key benefits of attending this course are:
These include: Estimation of market factor volatilities; Spreadsheet exercises using simple portfolio credit model; Performing Cholesky decomposition; Analysis of a CDO in the sub-prime meltdown; Spreadsheet exercises with single name credit derivatives; Estimation of market factor correlations
Andrew Street was formerly Executive Director - Head of Arbitrage & prior to that, Director - Head of Equity & Commodity Derivatives at Mitsubishi Finance International (now bank of Tokyo-Mitsubishi).
He has been a senior financial regulator including being Head of Traded Risk at the Financial Services Authority (FSA). This has provided him with a unique insight into the control, regulation & modelling of financial risk across the whole spectrum of financial institutions globally.
The knowledge of the lead instructor is world class, delivered in a fashion that can be understood by all attending the course