Course highlights:

• Development of correlation models and hedging techniques
• Equity correlation and dispersion trading
• Pricing models for equity correlation products
• Modelling and pricing credit correlation products
• Bespoke CDOs and credit-equity derivatives
• Time dependent copulas
• Levy versus Gaussian for CPPIs
• CDO risk-return dynamics
• Correlation trading in tranche markets

Course tutors:

London

• BARCLAYS CAPITAL Lorenzo Isla
• BNP PARIBAS Jean-David Fermanian
• CREDIT SUISSE Richard Martin
• DEXIA BANK Joao Garcia
• DEXIA BANK Serge Goossens
• INDEPENDENT CONSULTANT Claudio Albanese
• SAL. OPPENHEIM Matthias Fengler
• UNIVERSITY OF BOLOGNA Umberto Cherubini

New York

• ACA CAPITAL Rodanthy Tzani
• BARCLAYS CAPITAL David X. Li
• CITIGROUP Jure Skarabot
• INDEPENDENT CONSULTANT Claudio Albanese
• JP MORGAN Tolga Uzuner
• UBS Vivek Kapoor
• WACHOVIA SECURITIES Geng Xu