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Supervisory Updates and Emerging Issues Conference
June 17-20, 2008
Wednesday, June 18, 12:30 PM - 2:30 PM
Speaker: Donald R. van Deventer, Chairman & CEO
Location: FDIC - L. William Seidman Center, Arlington, Virginia |
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Quant Congress USA
July 8-10, 2008
Wednesday, July 9, 9:10 AM
KEYNOTE ADDRESS: Asset price bubbles in incomplete markets
- Existence: Can price bubbles be arbitraged?
- Are price bubbles inherited by call or put options?
- Are price bubbles inherited by forward or future prices?
- Does put call parity hold in the presence of asset price
bubbles?
- Does risk neutral valuation work in the presence of price
bubbles?
- Can price bubbles be empirically validated?
Speaker:
Robert A. Jarrow, Managing Director,
Research
Location: New York
Additional Information and Registration |
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Credit Model Estimation and Testing Course
October 3-4, 2008, Washington, DC
This course follows a detailed step-by-step process designed to insure state
of the art credit model accuracy and testing, using actual data from the
Kamakura Risk Information Services public firm default models as a basis for
course materials.
Objectives of the Credit Risk Process:
Macroeconomic Factors and Correlations in Default Correlated Default: The
Evidence A Review of Credit Models Testing and Calibration of Credit Models
a. In sample versus out of sample testing
- Is each of the N competing models better than random chance?
- If so, which is the best?
- Is a combination of 2 or more models better than any one alone? If
so, which 2 or 3?
b. Periodicity of the data: monthly versus annual
c. Creating the term structure of default probabilities and testing
effectively
d. Point in time versus "through the cycle" default probabilities and
ratings
e. ROC accuracy ratio and Cumulative Accuracy Profile
f. Van Deventer and Wang test for comparing actual and expected defaults
over time
g. Falkenstein and Boral test for detecting bias in default probability
levels
h. Out of sample test regime
- Usage of the Credit Models and Model Testing in Practice
- Naïve Models vs. Reduced Form and Structural Credit Models
- Case Studies in Default
- Implications of Cyclicality in Default Probabilities and Recovery
Rates
- Implications for Credit Spread Modeling
- Implications for CDOs and Credit Portfolio Management Financial
Reporting of Test Results for Risk Management: A Regulatory and Managerial
Perspective
Instructors are Dr. Donald R. van Deventer, Kamakura founder and member
of the RISK Hall of Fame, and Ms. Li Li, Managing Director for Credit
Advisory Services at Kamakura Corporation. For more information, please
contact
info@kamakuraco.com. |
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