Workshop 23 y 24 Junio: "Multi-curve Fixed Income Modeling"

Le informamos sobre las características básicas del Workshop "Multi-curve Fixed Income Modeling" impartido por Fabio Mercurio, Global Head of Quantitative Analytics Bloomberg, en el evento Risk Management & Trading Conference 2017 que tendrá lugar los días 21 a 24 de Junio en Santa Fe (México). Este evento reúne a los mejores profesionales de la industria de toda América Latina. 

Datos Workshop "Multi-curve Fixed Income Modeling"

• Viernes 23 y Sábado 24 de Junio

• Duración: 16 Horas

• Hotel JW Marriott Santa Fe

Fabio Mercurio
Global Head of Quantitative Analytics Bloomberg

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Temario:

• From the old to the new world.
  1. Market data at a glance.
  2. simple credit model explaining a nonzero basis.
  3. The market practice of multi-curve modeling.
• Definitions in the new world.
  1. Forward rates.
  2. Forward basis spreads.
  3. FRAs and futures.
• Building multiple curves.
  1. The OIS curve.
  2. Forward LIBOR curves.
  3. CSA curves.
• The new market formulas.
  1. Interest rate swaps.
  2. Caps and floors.
  3. Swaptions.
• Building a multi-curve interest rate model.
  1. The deterministic basis case.
  2. Modeling stochastic basis.
• A general recipe for multi-curve modeling.
  1. Defining a general recipe.
  2. Example I: a multi-tenor multi-curve LMM.
  3. Example II: an extended Gaussian short-rate model.
• The cross-currency case.
  1. Pricing deals with collateral in another currency.
  2. Pricing cross-currency basis options.

 

El evento engloba más de 30 workshops impartidos por los líderes de la industria financiera global de trading y riesgos (ver todos los workshops). El coste del evento completo es de $44,660.00 MXN ($2.400USD aproximadamente). Si quieres inscribirte en el mismo completa el formulario a continuación: