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Rohan Rao Emory University Duration: 16 hours June 22 - 10:00 am - 6:00 pm June 23 - 8:00 am - 6:00 pm G.S Rohan Rao is currently pursuing a PhD in Finance


at Georgia Institute of Technology (Georgia Tech). Prior to that he received a Master’s degree in Quantitative 1. Introduction to Credit Derivatives: and Computational Finance at Gerogia Tech and a

1.1. Credit Default Swaps (CDS).

Bachelor’s degree in Engineering Physics from Indian

1.2. Credit Linked Notes (CLN).

Institute of Technology, Bombay (IIT-Bombay) - one of

1.3. Collateralized Debt Obligations (CDO).

the premier institutes for technology in India. Before

1.4. Loan CDS (LCDS).

getting back to academics, Rohan worked with Bank of America in their Quantitative Finance group dealing 2. Single-Name CDS mechanics, Basket CDS with global structured products. He has extensive

mechanics, Index CDS mechanics.

experience with modelers and solvers like Matlab®, R, SAS and GAMs and programming languages like 3. Real Data: Depository Trust & Clearing C and Java. Some of his current research interests

Corporation (DTCC) Credit Derivative

lie in the area of Banking, credit risk, pricing credit

Warehouse Data, Market CDS Data.

derivative, investing and trading in volatility and implementation of numerical methods in pricing 4. CDS Pricing Implementation. derivatives. 5. Computing Market Implied Default Rohan is also the recipient of prestigious external

Probabilities & Default Risk:

research grants such as the Q group research award

5.1. CDS Based Estimation.

and the GARP research award and his work has been

5.2. Bond Based Estimation.

presented at top finance conferences such as WFA,

5.3. Equity Based Estimation.

AFA, EFA and FDIC. 6. Computing Fair-value CDS Spreads. 7. Computing CDS implied Credit Ratings.

REGISTRATION TELEPHONE: +52 (55) 5638 0367 y +52 (55) 5669 4729 E-MAIL: REQUIREMENTS


1. Intermediate or high level of English is required. Simultaneous translation will not be provided.

1. Bank Transfer and Cash Deposits (for Local Institutions) NAME: RiskMathics, S.C. BANk: BBVA Bancomer CLABE: 012180001105829640 ACCOUNT: 0110582964

2. Come from economic - Administrative Careers. 3. Preferably working in Financial Institutions. 4. Participants should bring a laptop.

VENUE: Universidad Panamericana Campus Santa Fe Antonio Dovalí Jaime #75 Piso 8 Col. Centro de Ciudad Santa Fe, CDMX. Price: $25,000.00 MXN + IVA

2. Bank Transfer in US Dollars (Foreign Institutions) BANK: BBVA Bancomer BRANCH NUMBER: 0956 SWIFT: BCMRMXMM BENEFICIARY: RiskMathics, S.C. ACCOUNT: 0121 8000 11 0583 0066 3. Credit Card: Visa, Mastercard or American Express. IMPORTANT NOTICE: There will be no reimbursements.

Credit Risk & Credit Default Swaps (CDS) 2018 Ing  
Credit Risk & Credit Default Swaps (CDS) 2018 Ing