New Ideas for Credit Portfolio Management Seminar
New York, NY
Thursday,
Feb 22, 2018 at 6:00 PM EST
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"name":"New Ideas for Credit Portfolio Management Seminar",
"description": "https://ticketfi.com/event/2163/new-ideas-for-credit-portfolio-management-seminar\n\n\"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.\\n\\nThis 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.\\n\\nDate: Thursday, February 22, 2018\\nTime: 6:00pm to 7:00pm\\nPlace: NYC, Manhattan Institute of Management\\n 110 William Street, 3rd Floor, New York, NY 10038\\n\\n\\n\\n \\n\"",
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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
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
Faculty of Mathematics
Questions about this event? Let us know!
Kristine McGlynn
Alumni Engagement Program Specialist, Math Advancement
kmcglynn@uwaterloo.ca
