Structured Credit Modeling

The event, titled 'Structured Credit Modeling,' is organized by the New York Institute of Finance and will take place in New York, United States. This course is designed to provide participants with an in-depth understanding of various critical components of structured credit products and their valuation techniques. It is a key part of the Advanced Credit Risk Professional Certificate program, aimed at professionals looking to enhance their expertise in credit risk management.The curriculum covers essential topics such as the mechanics of credit default swap (CDS) contracts, first-to-default valuation, and implied default correlation. Participants will learn about the intricacies of collateralized debt obligations (CDOs), including both cash-flow and synthetic structures. Additionally, the course will delve into tranche valuation, the application of the large homogeneous portfolio (LHP) approximation, and the implementation of the Gaussian Copula in credit modeling. Key indices such as asset-backed securities (ABS), commercial mortgage-backed securities (CMBS), and loan CDS indices will also be examined. Moreover, Module 4 of the course focuses on portfolio credit products and trading strategies, including constant proportional portfolio insurance (CPPI) and constant proportion debt obligations (CPDO). Attendees will develop a sound understanding of CDO structures, learn to infer implied default correlations from basket default swap prices, calculate survival curves for CDO tranches, and measure risk sensitivities of these tranches. This course is particularly beneficial for quantitative analysts, derivatives researchers and traders, credit risk managers, and credit analysts, equipping them with the necessary skills to navigate the complexities of structured credit products effectively.