Scribd Logo
Upload

Welcome to Scribd!

  • 0 Schedule 2020 PDF

    Uploaded by

    Rohail Hanif
    30 views1 page
    This schedule outlines tutorials for a project calculating credit valuation adjustments for derivatives contracts over 15 weeks. It includes tutorials covering derivative mechanics and valuation, implied default probabilities from credit default swaps, simulating risk factors, expected exposure profiles, and calculating credit valuation adjustment for different derivatives. The schedule concludes with a project defense at the end.

    Original Description:

    Original Title

    0 Schedule 2020.pdf

    Copyright

    © © All Rights Reserved

    Available Formats

    PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    Report this Document
    This schedule outlines tutorials for a project calculating credit valuation adjustments for derivatives contracts over 15 weeks. It includes tutorials covering derivative mechanics and valuation, implied default probabilities from credit default swaps, simulating risk factors, expected exposure profiles, and calculating credit valuation adjustment for different derivatives. The schedule concludes with a project defense at the end.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as pdf or txt
    30 views1 page

    0 Schedule 2020 PDF

    Uploaded by

    Rohail Hanif
    This schedule outlines tutorials for a project calculating credit valuation adjustments for derivatives contracts over 15 weeks. It includes tutorials covering derivative mechanics and valuation, implied default probabilities from credit default swaps, simulating risk factors, expected exposure profiles, and calculating credit valuation adjustment for different derivatives. The schedule concludes with a project defense at the end.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as pdf or txt
    of 1

    Schedule

    Introduction Lecture: Credit valuation adjustments for derivatives contracts


    1. 25.02.2020
    (dr Paweł Olsza). Project outline.
    2. 3.03.2020 Tutorial
    Stage I – Analysis of derivative instruments
     Mechanics,
    3. 10.03.2020
     Payoff formula/ payoff profile,
     Valuation formula.
    4. 17.03.2020 Tutorial
    Stage II – Implied default probability
     CDS contracts: mechanics,
     CDS contracts: valuation,
    5. 24.03.2020
     Implying probability of default from a CDS spread: CDS bootstrapping,
     CDS bootstrapping for sample market quotes (IMPORTANT: algorithm imple-
    mented in code form)
    6. 31.03.2020 Tutorial
    Stage III – Risk factors simulation
     Proposition of simulation methodology,
    7. 7.04.2020  Calibration to market data,
     Simulation: 3 years horizon, 1 month time step, minimum number of
    simulations 1 000.
    8. 21.04.2020 Tutorial
    Stage IV – Calculation of expected exposure profiles for derivatives
     Presentation and identification of key features of EE for the analyzed deriva-
    9. 28.04.2020 tives,
     Sensitivity analysis – describe the impact of increased volatility on EE of the an-
    alyzed derivatives.
    10. 5.05.2020 Tutorial
    Stage V – CVA calculation for derivatives
     CVA calculation for the analyzed derivatives,
    11. 12.05.2020
     Sensitivity analysis – describe the impact of increased volatility on CVA of the
    analyzed derivatives.
    12. 19.05.2020 Tutorial
    13. 26.05.2020 Tutorial
    14-15. 1.06.2020 Project defense

    You might also like