The Art of Credit Derivatives: Demystifying the Black Swan

About the Authors

João Garcia is the Head of the Credit Modeling team at the Treasury and Financial Markets of Dexia Group in Brussels. His current interests include credit derivatives, structured products, correlation mapping of credit portfolios in indices, developing strategies and trading signals for credit derivatives indices and pricing distressed assets. Before that he worked for four years on the construction of a grid system for strategic credit portfolio management of the whole Dexia Group. He has experience in methodologies to rate and price cash flow CDOs. He also worked on the allocation of credit economic capital and the pricing of exotic interest rate derivatives. He is an Electronic Eng. from Instituto Tecnológico de Aeronáutica (ITA, Brazil), with an MSc in Physics (UFPe, Brazil) and a PhD in Physics (UA, Belgium).

Serge Goossens is a Senior Quantitative Analyst working in the Front Office of Dexia Bank Belgium. He has vast experience with credit derivative instruments, both rating and pricing for hedging and trading. He has also focused on mark to model of hard to value distressed assets and on restructuring the capital structure of large portfolios. From his previous positions he has extensive expertise in parallel large-scale numerical simulation of complex systems, ranging from computational fluid dynamics to electronics. Serge holds an MSc in Engineering and a PhD from the Faculty of Engineering of the K.U. Leuven, and a Master of Financial and Actuarial ...