The talk will cover different aspects of assessing credit risk, the methods for hedging it and the derivatives structures that can be used for the credit risk management.

The major purpose of this talk is to develop the intuition about which parameters are vitally important for which types of transactions and how these parameters influence the price of credit derivatives. I will overview the major approaches for analyzing credit risk available on the market, and highlight their pros and cons. I will also show how the combination of these approaches can be used in practice for the pricing of various types of credit derivative structures.

View the Powerpoint presentation.


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