Credit Suisse Technical Seminar: Modelling and Risk Analysis of Power Reverse Dual Multicurrency Notes

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• Dr. Darryl Copsey, Quantitative Strategies, Credit Suisse
• Wednesday 08 December 2010, 17:00-18:00
• MR2, Centre for Mathematical Sciences, Wilberforce Road, Cambridge.

If you have a question about this talk, please contact C.A.O.Schelpe.

A Power Reverse Dual Multicurrency note is an exotic financial product popular with retail investors in economies with low savings rates. Payments to the note holder are linked to interest rates of two currencies and the foreign exchange rate between them. In this talk we will discuss their modelling, hedging and risk analysis. The focus will be on our hybrid rate/FX PDE models and hedging performance in evolving market conditions.

The second part of the talk will showcase the work of the Quantitative Strategies Group. Our team is responsible for pricing and risk management models of traded cash and derivative products across various businesses (equity, FX, rates, credit, emerging markets etc.). You will have the chance to meet several representatives to network and discuss quantitative careers at Credit Suisse.

This talk is part of the All CMS events series.

This talk is included in these lists:

• All CMS events
• MR2, Centre for Mathematical Sciences, Wilberforce Road, Cambridge
• bld31

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