Course highlights:
- Managing exposure
measurements
- Incorporating the effect
of collateral to mitigate
counterparty credit risk
- Pricing counterparty
credit risk
- Estimating exposure as a
profit centre of cost centre
- Analysing Basel II and the
internal model approach
- Hedging counterparty credit risk
- Assessing wrong-way risk modelling
- Valuation of counterparty risk and contingent CDS as hedging instruments
Course Tutors:
LONDON
- Damiano Brigo, FITCH SOLUTIONS/IMPERIAL COLLEGE
- Birgitta Drwenski, DRESDNER KLEINWORT
- Jon Gregory, BARCLAYS CAPITAL
- David Murphy, DRESDNER KLEINWORT
- Kai Pohl, ABN AMRO
- Professor David Saunders, UNIVERSITY OF WATERLOO AND R2 FINANCIAL TECHNOLOGIES
- Andy Shaw, MERRILL LYNCH
- Jonathan Willder, JP MORGAN WORLDWIDE SECURITIES SERVICES
NEW YORK
- Stephen Anglin, JP MORGAN WORLDWIDE SECURITIES SERVICES
- Paul Bowmar, LEHMAN BROTHERS
- Evan Picoult, CITIGROUP
- Dan Rosen, THE FIELDS INSTITUTE
- Niall Whelan, SCOTIABANK
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