T R A I N I N G

Modeling, Pricing and Analysis of Credit Risk

using Mathematica

For whom?
Financial quantitative analysts, developers of finance products, risk management and risk controlling, consultants and IT professionals

Content:
The rich functionality available within Mathematica allows to explore a problem domain like the modeling, pricing and management of credit risk. Based on material we developed for in-house training courses for different banks the implementation and the analysis of portfolio models for credit risk and the pricing of credit risk will be presented within the course. Since every course participant has the different models available as a Mathematica notebook he can interactivly explore the models. The portfolio models that will be discussed are an implementation of CreditMetrics™ and CreditRisk+ as described in the respective Technical Documents. Several extentions to these models will also be part of the course. The application of these portfolio models to the pricing of Collateralized Debt Obligations will be demonstrated. For the pricing of credit risk different approaches for structural and reduced form models are presented.

Topics:

Fast track on using Mathematica
Different models for pricing credit default swaps and credit spread options
Using the two-factor Hull-White tree valuation method to value defaultable bonds and loans
Exploring structural form models for pricing credit risk
Implementing and extending CreditMetrics™
Alternative implementation of CreditRisk+
Extending CreditRisk+
Modeling and pricing Collateralized Debt Obligations

Skills:
Basic knowledge of Mathematica is helpful, basic knowledge in credit risk modelling is necessary, knowledge in numerical methods is helpful. Since the modeling of credit risk is the main topic, not all numerical methods, which will be used, will be discussed in details during the course. Please contact Additive or CanDiensten for information on introductionary courses in Mathematica.

Duration: two successive days

Material: hand-outs, CD with Mathematica notebook and sample data

In-house-Trainings

Our trainings can also be customized as an in-house course delivered at your offices for the members of your organization. This could be an attractive option if there are three or more people, who are interested in a training.

The two key benefits are

Cost savings: Sending 3 or 4 of your staff abroad for a seminar could easily cost more then an in-house work shop.
Tailored seminars: An in-house course can be tailored to exactly your needs and wishes.

If you are interested in a special topic in finance (with or without the use of Mathematica) we will be happy to put together a progam to meet your specific needs.

Ask us or our local partners about our in-house trainings or send us an e-mail.

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