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:
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.