Credit and Counterparty Risk Modelling 2015 is a course dedicated to techniques, tools and implementation mechanics for dealing with credit and counterparty risk.
Credit and Counterparty Risk Modelling 2015 is a course that covers topics such as:
- Models for the pricing of credit default risk and the valuation of defaultable credit derivatives
- The role of interest rate risk
- Recovery risk
- Default risk
- Basis risk and counterparty risk
- Recent modelling issues of funding and market liquidity
- CSA discounting
- Credit support annex
- CVA, DVA,LVA, FVA
