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.
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