Synthetic CDOs

[gabriel]

Got this in an email today and I think it may be of interest here. Registration is free, I believe.

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Credit derivatives have transformed the collateralised debt obligation (CDO) market with synthetic CDOs issuance outstripping funded and full capital structure securitizations.
Join Derivative Fitch experts for a workshop which will address issues pertaining to tranche pricing and valuation, correlations, market/credit risk and market dynamics impacting the synthetic CDO space.


Agenda
Registration
Lunch will be provided in New York.
Continental Breakfast and Lunch will be provided in Greenwich and Chicago.
Welcome and Introduction
James Parascandola, Senior Director
Credit Risk of CDOs
- Structural Form Methodology
- Default Probabilities
- Recovery Rates
- Correlation - Impact on Credit Portfolios
Richard Hrvatin, Managing Director (New York)
Tania Fago, Senior Director (Greenwich)
Derek Miller, Senior Director (Chicago)
Pricing of Synthetic CDOs
- The Gaussian Copula
- The Index Tranche Market
- Tranche and Base Implied Correlation
- Mapping Approaches
- Base Correlation Term Structure
- Applying the Base Correlation Framework to Non-Vanilla Structure
Simon Greaves, Managing Director
James Wood, Managing Director

Closing Remarks
James Parascandola, Senior Director



To register for this event, download the PDF below and fax the completed form back to Melissa Pompilii at 212-558-2545 by Monday, April 16, 2007.
http://www.fitchratings.com/web_content/conferences/2007/dfitch_synthetic_workshop/workshop.pdf

 

[Andy Nguyen]

Thanks, Gabriel

This is awesome. Anything about CDO is nice to learn. The only problem is we have a trip to NYSE trading floor on that day April 18th :wall (just the same old problem we face, too many events scheduled at the wrong time)

I hope others can go. When you come accross events like this, please come back and post here.
Regards,

 

[Uncle Max]

I hope others can go. When you come accross events like this, please come back and post here.
Regards,

It will be on April 18th. Isn't it the same day we are going to the NYSE?

 

[pardasani]

Greenwich is not all that far, specially if one has company isn't it ???