Advancing the Field of Quantitative Finance
formerly the IAFE

Event

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

Description:

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?

Speakers:
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.