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Credit Trading Update
14 April 2005
Implementing Credit Portfolio Derivatives in Practice
Mark W. Beinker, d-fine
The valuation of credit default obligations (CDO), CDO2, and nth-to-default swaps depends highly on the correlation or dependency structure of the underlying credit portfolio. The talk discusses the various methods of correlation modelling, estimation, and the issues concerning their implementation in productive IT systems.
Mark W. Beinker
Mark W. Beinker is a Senior Manager at d-fine who joined the company in 2002. His experience in the financial industry as a Manager of the Financial Risk Management practice of Arthur Andersen goes back to 1997. Mark holds a PhD in particle physics from the University of Dresden.
Mark's modelling and implementation experience includes the development and verification of derivative pricing models, market data analysis, market risk calculations, portfolio optimisation and integration of trading and risk management systems.
d-fine
d-fine is a leading European consulting firm dedicated exclusively to the financial industry. Over 120 highly skilled professionals based in Frankfurt and London advise banks, insurance companies, asset managers, hedge funds and corporate treasuries in the areas of risk management, quantitative finance, and IT Integration. The unique success of d-fine relies on their approach to deliver sound methodology and processing concepts and efficient implementation, including IT integration and UA testing, as demonstrated by the successful delivery of numerous trading system, back office, risk management, and ALM projects.
Services range from pricing of bonds to complex credit (and other) derivatives, from internal credit ratings (Basel II AIRB and FIRB) for retail and wholesale businesses to the integration of market and credit risk, from firm-wide capital allocation (Basel II ICAAP, Solvency II) to risk-adjusted performance measurement (RAROC) and portfolio management. Recent clients include ABN Amro, Commerzbank, CQS Management, Deutsche Bank, Dresdner Bank, HBOS plc, Hypo-Vereinsbank, Union Investment, among others.
For more details, please visit www.d-fine.co.uk