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:
Exercises 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
Choose how you attend - IFF's new flexible booking options mean you can physically attend or opt for a digital experience and connect from anywhere in the world. Find out more.
Whichever way you choose to experience this course, you'll use practical sessions and exercises so that you will be able to apply your new knowledge immediately.
Dates: 21-23 September 2020
Venue: Central London / online
London course fee: £2999.00 + VAT @ 20% = £3598.80
Online course fee: £2399 + VAT if applicable
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