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Event: IAFE /Thalesians Seminar Series
Date: Wednesday, June 19, 2013
Time: 5:45pm Registration, 6:00pm Seminar, 7:30pm Reception
NYU Kimmel Center
Room 914
60 Washington Square South
New York, NY 10012

The International Association of Financial Engineers is pleased to invite you to

IAFE /Thalesians Seminar Series:
A Structural Model of Sovereign Credit
and Bank Risk
A Talk by Emilian Belev, CFA, ARPM


In this presentation we make an overview of a model designed for this task. It builds on established credit risk methodology for corporate entities known from the seminal work of Merton, and takes a new direction to adapt the default option argument to a sovereign debt setting. The proposed model caters to economic intuition and resorts to explicit measures of macro economic activity as its buildings blocks. We differentiate sovereign entities into three distinct categories, and adapt our general arguments to each of these groups. Furthermore, we pursue the connection between the viability of sovereign entities and the viability of the jurisdictional financial institution. Finally, we juxtapose the model results with metrics of credit risk from the financial markets, as a reality check of the success of approach.

Some of the perceived contributions of the approach are:

Emilian heads the development of Northfield's Enterprise Risk analytics for the last 12 years. His domain of responsibilities include modeling equity and fixed income, currency, equity, interest rate, and credit derivatives, structured products, directly owned real estate, private equity, and infrastructure, and developing an integrated framework for these asset classes to be analyzed side-by-side in a coherent, accurate, and economically logical fashion. He has introduced various innovative methodologies in the areas of convertible bonds modeling, MBS path dependency, efficiency of numerical derivative pricing algorithms, credit risk among tranches of seniority, infrastructure investments, and directly owned real estate. Emilian has presented on some of these topics at various industry events in North America and Europe. Prior to joining Northfield, Emilian has been with State Street Global Advisors. Emilian is an actively involved CFA charter holder, holder of the Certificate in Advanced Risk and Portfolio Management, a member and founding member of respectively QWAFAFEW Boston and QWAFAFEW Toronto, a member of the PRMIA expert advisory group for Market Risk, and a winner of the 2013 PRMIA award for New Frontiers in Risk Management.

The IAFE's Thalesians Seminar Series is a joint effort on the part of the IAFE (www.iafe.org) and the Thalesians (www.thalesians.com). The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. Click here for information on the IAFE/Thalesian Seminar Series.


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