Risk Latte - Financial Education

Risk Latte Company is holding a two day Credit Derivatives Pricing Course Pricing CDS, Basket Default Swaps and CDOs in Excel/VBA in Hong Kong.

Credit Derivatives Pricing Course Pricing CDS, Basket Default Swaps and CDOs in Excel/VBA

  • Objective:
    • A two (2) day training programme for credit derivatives traders and credit structuring and sales professionals to provide a detailed analysis of pricing issues in Credit Default Swaps, Basket CDS (multi-name CDS) and CDOs

  • Methodology:
    • The training will be carried out using problem solving methodology and make use of case studies and Excel spreadsheets and making use of user defined macros and VBA functions.


Curriculum:

Day 1 : Morning Session (9:30 am - 12:30 pm)

Monte Carlo Simulation & Copulas in Excel/VBA

  • Multiasset Monte Carlo simulation using Cholesky decomposition;
  • Multiasset Monte Carlo simulation using PCA (principal components analysis)
  • Estimating Gaussian Copulas;

Day 1 : Afternoon Session (2:30 pm to 5:30 pm)

Pricing CDS and F2D, N2D Baskets in Excel/VBA

  • Pricing single name CDS using MC simulation;
  • Pricing multi-name CDS (F2D, N2D Baskets, Portfolio CDS) in MC simulation;
  • Pricing Credit Linked Notes using Numerical Estimation;

Day 2 : Morning Session (9:30 am - 12:30 pm)

Pricing CDO in Excel/VBA

  • Pricing CDOs with zero correlation in MC simulation;
  • Pricing CDOs with non-zero correlation in MC simulation;
  • Pricing & Structuring related issues in CDOs

Day 2 : Afternoon Session (2:30 pm to 5:30 pm)

  • Estimation of Default Probabilities using Structural Approach;
  • Estimation of Default Probabilities using Reduced form models;
  • CDS pricing using structural and reduced form models;
  • Basket default swap pricing using reduced form models;

Course Fee: US$3,000 (USD Three Thousand only) per day.

Trainers : Risk Latte principal in house analyst-trainers are:

Rahul Bhattacharya, M.Sc. (Nuclear Physics), MBA (Finance)
Arvind Kumar, M.Tech (Chemical Engineering), MBA (Finance)

All our trainers have extensive experience in training and conducting workshops, focus group modules & tutorials and project work with front and middle office bankers and investment bankers in Asia ( Hong Kong , Singapore and Tokyo ).


To apply for the above course please write to info@risklatte.com . You can also write to us at Risk Latte Company , Level 2, Neich Tower, No.128, Gloucester Road, Wan Chi, Hong Kong or you can call us on +852 3987 8552 or +852 6395 8032.

All Candidates will be awarded a Certificate of Participation by Risk Latte Company.

Any comments and queries can be sent through our web-based form.

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