- Models of Corporate Structure
- Detailed introduction to the Merton model
- Assumptions
- Mathematics
- Consequences for trading
- The KMV version of the Merton model
Workshop: Covering topics examined in first
section
- Key Factors in Equity and Debt Derivative
Prices and Default Risk
- The volatility smile and the sensitivity
of far OTM options to it
- Convertible asset swaps and CB options,
“ASCOT”
- CDS pricing and sensitivity – Duffie-Singleton
- Equity and debt cross-sensitivities, “Greeks”
- Models of corporate structure: KMV
- Pricing using KMV-type models
Workshop: Covering topics examined in second
section
- Why Might the Arbitrage Exist?
- Organisational issues for investment banks.
Drivers for different views of names between
equity and debt markets
- Sourcing long-dated volatility in equity
derivatives
- Senior vs sub: key issues in recovery
risk
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- Real World Pitfalls: Understanding Them and
Avoiding Them
- Movements in the smile
- Accounting issues and mark to market
- Factors driving credit spread movements
- Liquidity risk
- Activities of other market participants
and their effects
- Typical Transactions in Detail
- Equity derivative vs default swap
- CB option vs default swap
- CDO equity tranche vs basket option
Workshop and Q & A: Reviewing the entire
training
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