Advancing the Field of Quantitative Finance
formerly the IAFE


Event: A Simple GARCH Approach to Default Correlations
Date: March 2
Time: 5:30 pm Registration. 6:00 pm Program begins. 7:30 pm Reception.
Goldman Sachs
180 Maiden Lane, 30th Floor
New York, NY

Description: The IAFE Credit Risk Committee presents an address by Robert Engle, the Michael Armellino Professor of Finance at NYU Stern School of Business and recipient of the 2003 Nobel Prize in Economics.

-Understanding the importance of tail dependence for credit risk
-The role of asymmetric volatility for modeling skewness
-Theoretical and empirical results
-A simple one factor model with tail dependence
-Simulating the copula
-Calculating loss distributions and base correlations for large homogeneous portfolios
-What do we get from this approach?

Sponsored by Institutional Investor Journals.


Chicago Mercantile Exchange