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Events Archive
Event
Event: New Results in Credit Default Swaps, Volatility and Credit Quality
Date: March 18
Time: 5:30 pm
Location:
Goldman Sachs, 125 Broad Street, 19th Floor
Sponsor:
Sponsored by SunGard Trading & Risk Systems
Description:
New Results in Credit Default Swaps,
Volatility and Credit Quality
A talk by Dr. John Hull
Maple Financial Professor of Derivatives and Risk Management
Joseph L. Rotman School of Management, University of Toronto
5:30 pm on March 18, 2003
Goldman Sachs, 125 Broad Street, 19th Floor
New York City
Kindly sponsored by SunGard Trading & Risk Systems and Risk Waters Group
With Basel II on the horizon, it is important to explore new ways of assessing counter-party credit risk. This talk will be based on two recently completed research projects, both co-authored by John Hull. The first is an empirical study of the relationship between credit default swap spreads and ratings announcements. The second is a theoretical and empirical study concerned with the relationship between equity volatility skews and credit quality under Merton´s model. The research concludes that both CDS spreads and volatility skews are useful indicators of a company´s credit quality.
This event is held in partnership with PRMIA.
This event is kindly sponsored by SunGard Trading & Risk Systems and Risk Waters Group.
Meeting Details:
A cocktail reception will follow the program.
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