Hedging Synthetic Collaterallized Debt Obligations

Event Details
  • Date/Time:
    • Friday November 7, 2003 - Thursday November 6, 2003
      10:00 am - 11:00 pm
  • Location: IC 115
  • Phone:
  • URL:
  • Email:
  • Fee(s):
    N/A
  • Extras:
Contact
Barbara Christopher
Industrial and Systems Engineering
Contact Barbara Christopher
404.385.3102
Summaries

Summary Sentence: Hedging Synthetic Collaterallized Debt Obligations

Full Summary: Hedging Synthetic Collaterallized Debt Obligations

Synthetic Collaterallized Debt Obligations (CDOs) have enjoyed very rapid growth in the credit derivatives market. However, the valuation of such multi-credit instruments remains very challenging. In this talk, we focus
on the issue of hedging such instruments and discuss how to bridge "traditional" credit valuation with "modern" credit valuation. Some practical issues around computing accurate hedge ratios are also discussed.

Additional Information

In Campus Calendar
No
Groups

H. Milton Stewart School of Industrial and Systems Engineering (ISYE)

Invited Audience
No audiences were selected.
Categories
Seminar/Lecture/Colloquium
Keywords
No keywords were submitted.
Status
  • Created By: Barbara Christopher
  • Workflow Status: Published
  • Created On: Oct 8, 2010 - 7:42am
  • Last Updated: Oct 7, 2016 - 9:52pm