Advancing the Field of Quantitative Finance
formerly the IAFE

Events

Event: New Results in Credit Default Swaps, Volatility and Credit Quality
Date: March 18
Time: 5:30 pm
Location:
Goldman Sachs, 125 Broad Street, 19th Floor
Sponsor:
Sponsored by SunGard Trading & Risk Systems

Description:

New Results in Credit Default Swaps, Volatility and Credit Quality

A talk by Dr. John Hull

Maple Financial Professor of Derivatives and Risk Management
Joseph L. Rotman School of Management, University of Toronto

5:30 pm on March 18, 2003
Goldman Sachs, 125 Broad Street, 19th Floor
New York City

Kindly sponsored by SunGard Trading & Risk Systems and Risk Waters Group

With Basel II on the horizon, it is important to explore new ways of assessing counter-party credit risk. This talk will be based on two recently completed research projects, both co-authored by John Hull. The first is an empirical study of the relationship between credit default swap spreads and ratings announcements. The second is a theoretical and empirical study concerned with the relationship between equity volatility skews and credit quality under Merton's model. The research concludes that both CDS spreads and volatility skews are useful indicators of a company's credit quality.

This event is held in partnership with PRMIA.

This event is kindly sponsored by SunGard Trading & Risk Systems and Risk Waters Group.

Meeting Details:
A cocktail reception will follow the program.