New Ideas for Credit Portfolio Management Seminar

New York, NY
Thursday, Feb 22, 2018 at 6:00 PM EST 
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Event Details

Join us on February 22nd for a joint seminar hosted by WatRISQ, University of Waterloo and Industrial Engineering & Operations Research (IEOR), Columbia University:  New Ideas for Credit Portfolio Management, presented by Dr. David Li.

This talk first provides an overview about the copula function approach to credit portfolio modeling.  Some of the key theoretical deficiency in its current framework is then highlighted. Finally, some initial result based on the equilibrium approach to the credit portfolio modeling is presented. This new approach is based on the extension of the copula function for random variables to the copula function for stochastic processes. The basic definition, properties of copulas for stochastic processes are discussed. This new approach allows us to theoretically link our credit portfolio modeling with our classical equity portfolio modeling under the Capital Asset Pricing Model (CAPM) setting.

Date:  Thursday, February 22, 2018
Time:   6:00pm to 7:00pm
Place:  NYC, Manhattan Institute of Management
               110 William Street, 3rd Floor, New York, NY  10038




 

Speakers

Dr. David Li
Shanghai Advanced Institute of Finance and Columbia University
Adjunct Professor

Location

110 William Street, 3rd Floor New York, NY 10038 US

Tickets

Type
Price
David Li Talk
Free

Organizer Details

Logo - WatSPEED

WatSPEED


Questions about this event?  Let us know!

Jenn Bentley
Manager, Events and Engagement
WatSPEED
jennifer.bentley@uwaterloo.ca