Credit Correlation

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.

Chapter 1 Credit Modelling Fundamentals - Filtrations, Point Processes and Intensities.- Chapter2 Expectations in the Enlarged Filtration - The Generalized Dellacherie Formula.- Chapter3 The Basics of Default Correlation Modelling.- Chapter4 Default Correlation Calibration - Link between Copulas and Conditional Jump Diffusions.- Chapter5 Correlation Demystified: A General Overview.- Chapter6 An Introduction to the Marshall-Olkin Copula.- Chapter7 Numerical Tools: Basket Asymptotic Expansions.- Chapter8 CDO-Squared: Correlation of Correlation.- Chapter9 Second Generation Models: From Flat Correlation to Correlation Skew.- Chapter10 Third Generation Models: From Static to Dynamic Models.- Chapter11 Pricing in a Dynamic Credit Model.- Chapter12 Practical Applications of Dynamic Models: Pricing Path-Dependent Credit Exotics.- Chapter13 Base Correlation Calibration with a Stochastic Recovery Model.- Chapter14 Hedging in Incomplete Credit Markets: JTD vs CR01.- Chapter15 New Frontiers in Credit Modelling: the CVA Challenge.