Credit Modelling Course

University of Ulm
September 19^th, 2005

Course Materials

• Corporate Bonds - Prof. Kiesel
• Credit Derivatives - Prof. Kiesel
• Credit Default Options in Portfolios- Prof. Loeffler
• Corporate Bonds in Asset Portfolios - Dr. Kessler

Course Outline - Flyer (German)

This half-day course on September 19^th is designed for practitioners who want to gain specific insight into credit-risky financial instruments. The course will consist of four one hour sessions with topics: Corporate Bonds (Modelling Spread Curves), Credit Derivatives; CDOs, Use and Effects of Corporate Bonds in Investment Portfolios.

Topics

• Corporate Bonds
  • Modelling Approaches
  • Yield Curve Fitting
• Credit Derivatives
  • Basic Instruments
  • Mathematical Models
  • Pricing Approaches
• CDOs in Portfolios
  • Risk Contribution in Bond Portfolios
  • Modelling of CDOs in Portfolio Risk Models
  • Risk-Return-Profile of CDOs and Bonds
• Investment
  • Effects of Corporate Bonds in Asset Portfolios

Schedule

Time	Topic
13.05 - 13.55	Corporate Bonds
14.05 - 14.55	Credit Derivatives
15.05 - 15.30	Coffee Break - Discussion
15.35 - 16.25	CDOs
16.35 - 17.25	Investment
17.30 - 18.00	Closing Remarks

Fees

The fees are as follows:

• Whole Conference and Credit Modelling Course: 300EUR (+16%VAT)
• Credit Conference Day and Credit Modelling Course: 250EUR (+16%VAT)
• Credit Modelling Course only: 200EUR (+16%VAT)

Payments have to be made via direct deposit to the account:
Sparkasse Ulm
Account number: 50081
Branch Code: 630 500 00
IBAN: DE29 6305 0000 0000 0500 81
SWIFT-BIC: SOLADES1ULM