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Key issues in Credit Risk Management
Thursday, November 3, 2011
Led by John Hull, Maple Financial Professor of Derivatives and Risk Management, Joseph L. Rotman School of Management, University of Toronto
08:30 Registration and coffee
09:00 The Credit Crisis
- Key lessons
- Securitization
- Ratings criteria for structured products
- The way forward
10:30 Morning break
11:00 Estimating default probabilities
- Real world vs risk neutral default probabilities
- Using historical data
- Using credit spreads
- Merton's model
12:30 Lunch
13:30 Counterparty Credit Risk
- Estimation of CVA and DVA
- Bael III requirements
- Wrong way risk
- Handling computational issues
15:00 Afternoon break
15:30 Copulas
- How copulas work
- How they are used in credit risk
- Application to the calculation of regulatory and economic capital
- Application to the valuation of derivative
17:00 End of the seminar
About the tutor:
John Hull is the Maple Financial Professor of Derivatives and Risk Management at the Joseph L. Rotman School of Management, University of Toronto. He is an internationally recognized authority on derivatives and risk management. He was, with Alan White, one of the winners of the Nikko-LOR research competition for his work on the Hull-White interest rate model and was in 1999 voted Financial Engineer of the Year by the International Association of Financial Engineers. He has acted as consultant to many North American, Japanese, and European financial institutions. He has written three books "Risk Management and Financial Institutions" (now in its second edition), "Options, Futures, and Other Derivatives" (now in its eighth edition) and "Fundamentals of Futures and Options Markets" (now in its seventh edition). The books have been translated into many languages and are widely used in trading rooms throughout the world, as well as in the classroom. He has won many awards for teaching and research, including University of Toronto's prestigious Northrop Frye award.
