Description
Youssef Elouerkhaoui is a Managing Director and the Global Head of Credit Quantitative Analysis at Citi. His group supports all modelling and product development activities for Credit Markets. This includes: Flow, Correlation, Options and Exotics, CDOs and Emerging Markets. He also supports CVA, Funding and Regulatory Capital for Credit Markets. Prior to this, he was a Director in the Fixed Income Derivatives Quantitative Research Group at UBS, where he was in charge of model development for Structured Credit. Before joining UBS, Youssef was a Quantitative Research Analyst at Credit Lyonnais Supporting the Interest Rates Exotics business. He has also worked as a Senior Consultant in the Risk Analytics and Research Group at Ernst & Young. He is a graduate of Ecole Centrale Paris and he holds a PhD in Mathematics from Paris-Dauphine University. Youssef is author to numerous professional and academic research articles in mathematical finance for both professional and academic journals, contributed to the book ‘Credit Correlation: Life After Copluas’ (Lipton and Rennie) and is a regular speaker at all the major quantitative finance conferences, including Risk’s Quant Europe, ICBI’s Global Derivatives, and WBSs Fixed Income Conference. Introduction and Context Part I – Theoretical Tools 0. Credit Modelling Fundamentals – Filtrations, Point Processes and Intensities 1. Expectations in the Enlarged Filtration – The Generalized Dellacherie Formula 2. The Basics of Default Correlation Modelling 3. Default Correlation Calibration – Link between Copulas and Conditional Jump Diffusions Part II – Correlation Models: Practical Implementation 4. Correlation Demystified: A General Overview 5. An Introduction to the Marshall-Olkin Copula 6. Numerical Tools: Basket Asymptotic Expansions 7. CDO-Squared: Correlation of Correlation 8. Second Generation Models: From Flat Correlation to Correlation Skew 9. Third Generation Models: From Static to Dynamic Models 10. Pricing in a Dynamic Credit Model Part III – Advanced Topics: Pricing and Risk Management 11. Practical Applications of Dynamic Models: Pricing Path-Dependent Credit Exotics 12. Base Correlation Calibration with a Stochastic Recovery Model 13. Hedging in Incomplete Credit Markets: JTD vs CR01 Part IV – The Next Challenge 14. New Frontiers in Credit Modelling: the CVA Challenge
