Advancing the Field of Quantitative Finance
formerly the IAFE

Event

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:
Goldman Sachs
180 Maiden Lane
New York City

Description:

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.

View Dr. Hull's presentation slides.

View the paper Dr. Hull presented, Valuing Credit Derivative Using an Implied Copula Approach

Tuesday, May 2nd, 2006

Goldman Sachs
180 Maiden Lane
New York, NY