Wednesday June 20 | 10:00 am - 6:00 pm Thursday June 21 | 10:00 pm - 5:00 pm

Friday June 22 | 10:00 pm - 6:00 pm

Liber Jaime is Vice President at JP Morgan Asset Management, New York; currently he is Senior Quant in the Risk Analytics team, in charge of developing and implementing valuation models and methodologies for quantifying risks. Liber specializes on fixed income and credit derivatives, and has professional experience in the international and Mexican financial sector, and the Mexican public sector. He is also a guest member of the working group for the Financial Education in Mexico by the British Embassy sponsored by the Prosperity Fund, Mexcian Chapter.As part of his professional experience he has served as Risk & Portfolio Analytics Consultant at MSCI RiskMetrics advising several of the biggest Asset Managers in the industry (based on their assets managed in U.S.) on the use and deployment of risk models and on the best practices for estimating financial risks. In Mexico, he has served as risk management specialist in the AFORES (pension funds) market and he has worked at the Federal Electricity Commission quantifying and analyzing market risk and documented debt cost, and working on the financial valuation of projects and capital spending.Liber is an Actuary from the ITAM (Instituto Tecnológico Autónomo de México), he holds a Master of Finance, with Honors, from Hult International Business School in London. He enjoyed a grant from Mansion House Scholarship Scheme in London City. He has also studied courses on Project Valuation, Derivatives Valuation, Risk Management, Financial Markets Regulation, among others, at ITAM, Mexican Stock Exchange Group, RiskMathics, etc.

DESCRIPTION: Convertible bonds are instruments that provide investors with exposure to the equity´s price appreciation of the issuing company, while protecting the capital as fixed income instruments. Although it seems just one of the fixed income instruments, its valuation is complex and requires a detailed understanding of all its risk factors to be able to identify and quantify potential losses of value.

OBJECTIVE: Participants will understand the main principles of convertible bonds valuation considering the credit risk associated with the spread levels of the issuing company. The course will cover different types of issues available in the market, and will provide an overview of credit derivatives that can be used to reveal the credit risk associated in the issuance of convertible bonds. Participants will also understand the relationship between credit risk instruments and fixed income instruments through the information contained in the risk factors available in the market.

TOPICS:

1 Introduction. 1.1 Convertible Bonds Market. 1.2 Characteristics, and most common Terms and Conditions. 1.3 Risk Factors of a Convertible Bond.2 Credit Risk on Corporate Bonds. 2.1 Credit Risk as Risk Factor. 2.2 Data Sources: Bond Spread and CDS Spread. 2.3 Single-name CDS. Contracts and Standard Conventions. 2.4 CDS Contract Standard Valuation Method. 2.5 Probability of Default and Model Calibration for Credit Risk.3 Convertible Bond Valuation Method. 3.1 Valuation Methods Evolution. 3.2 Binomial Method with Credit Risk using CDS Spreads. 3.3 Market Data as Factors. 3.4 Incorporating Terms and Conditions. 3.5 Example: Valuation using Excel.4 CoCo - contingent convertible. 4.1 Brief history of the evolution of CoCos. 4.2 Definitions and particularities. 4.3 Most common structure and classification. 4.4 Formulation of a valuation model for CoCos.5 More about credit derivatives and their risk. 5.1 What is an Index CDS or CDX? 5.2 Standard conventions and terminology. 5.3 Characteristics of a CDX contract. 5.4 Basis of valuation of a CDX contract.

LIBER JAIME VICEPRESIDENT, RISK ANALYTICSJP MORGAN ASSET MANAGEMENT

PAYMENT METHODS:

1. Bank Transfer in US Dollars (Foreign Institutions) BANK: BBVA Bancomer ACCOUNT NUMBER: 0121 8000 11 0583 0066 SWIFT: BCMRMXMMBRANCH NUMBER: 0956 BENEFICIARY: RiskMathics, S.C.

2. Credit Card: VISA, MASTERCARD or AMERICAN EXPRESS.

IMPORTANT NOTICE: There will be no reimbursements.

PRICE: $28,000.00 Mexican Pesos + Tax (16%)

Duration: 23 hours (3 Sessions)Venue: Universidad Panamericana Campus Santa Fe

Antonio Dovalí Jaime 75, piso 6, Santa Fe, CDMX.

WWW.RISKMATHICS.COM

Registration

E-mail: derivatives@riskmathics.com Telephone: +52 (55) 5638 0367

y +52 (55) 5669 4729

REQUIREMENTS

• Graduated from an economic and/or administrative career.

• Preferably working in Financial Institutions.

• Participants should bring a laptop.