Event: Valuing Correlation-Dependent Credit Derivatives: Implying Copulas from Market Data Date: May 2 Time: 5:30 Registration, 6:00 Program Begins, 7:30 Reception Location:
180 Maiden Lane
New York City
The International Association of Financial Engineers Presents
"Valuing Correlation-Dependent Credit Derivatives: Implying Copulas from Market Data"
Presentation by John Hull Maple Financial Professor of Derivatives and Risk Management
Joseph L. Rotman School of Management, University of Toronto
and IAFE Senior Fellow
This research presents an alternative to the base correlation/Gaussian copula model for valuing CDO tranches. Dr. Hull will be discussing how the copula itself is implied from the quotes, rather than inferring copula correlations from market quotes. With his new methods, the model can be exactly fitted to the market quotes for actively traded CDO tranches and provides a useful tool for pricing, trading, and risk management. These innovations can also be used to price CDO squareds and similar structures.