Advancing the Field of Quantitative Finance
formerly the IAFE


Event: Credit Derivatives Symposium
Date: September 29
Time: 11AM - 5PM followed by a reception
Fordham Graduate School of Business
Lincoln Center Campus
113 W. 60th St. 12th Floor
New York City

The International Association of Financial Engineers is pleased to endorse:

Credit Derivatives Symposium
Fordham School of Business

Fordham University Graduate School of Business is hosting an excellent group of experts, listed below, who will discuss aspects of credit derivatives. In addition, there will be a distinguished panel on post-credit events auctions to price bonds, which lie at the heart of many credit derivatives.  We hope you will join us for a stimulating day that includes lunch and a reception. There is a standard fee of $200 for practitioners and the symposium is free for academics and students. For further information and registration, please visit the website

The confirmed speakers and topics include:

• Professor Suresh Sundaresan (Columbia) will speak on the subject of risk management, credit derivatives, and credit risk.

• Professor Paul Glasserman (Columbia) will discuss some computational aspects of credit and credit derivatives.

• Michael Barnes (Tricadia) will speak on the “The Emergence of CDOs as End Investor and the Resulting Potential for Systemic Risk in the Fixed Income Markets.”

• Kimberly Summe (ISDA) and David Mengle (ISDA) will make a presentation on the auction procedure for credit events that was implemented in late 2005.Professor Kristian Rydqvist (SUNY Binghamton) will comment upon the procedure from a theoretical and empirical perspective.

• Howard Hill (Babson) and Todd Kushman (Bear Stearns) will appear on a mini-panel and speak about securitization and structuring, past and present, with an emphasis on mortgage backed products.

• Professor Raghu Sundaram (NYU) will discuss new products that link credit risk and equity, and some related modeling issues.

• Professor Liuren Wu (Baruch) will talk about evidence and theory linking stock option implied volatilities and CDS spreads underlying the same reference company.

• Luis Reyna (Swiss Re) will speak on a topic to be determined.