Advancing the Field of Quantitative Finance
formerly the IAFE


Event: Credit Derivatives: Market and Models
Date: November 29
Time: 5:30 pm
Goldman Sachs
180 Maiden Lane
New York, NY


Credit Derivatives: Market and Models

* What are the standard underlying assumptions and methods of modeling credit derivatives?

* What were the significant events in the credit derivative market this year?

* What effect, if any, did these events (particularly the downgrading of Ford and GM to non-investment grade) have on the assessment of the validity of the standard assumptions or modeling techniques?

Edward Altman, Stern School, NYU
Arvind Rajan, Citigroup
Alex Reyfman, AQR Capital

Tuesday, November 29th, 2005
5:30 pm Registration
6 pm Program Begins
Reception at 7:30

Sponsored by Pacific Alternative Asset Management Company.