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Symposium on Credit Derivatives

Futures, options, swaps and other derivatives play a major role in managing exposure to market risk, i.e., fluctuations in the market price of an underlying risky asset.  But banks and many other financial institutions have traditionally been more worried about credit risk.  Their primary concern is that a borrower will default on a loan, or the issuer of a bond they own will go bankrupt, not that an adverse change in interest rates will reduce the value of that loan or bond in the market.  So it is not surprising that credit default swaps and other credit derivatives that offer a simple and direct means for managing credit risk represent one of the most important financial market innovations since the invention of the interest rate swap.

The NASDAQ Derivatives Research Project is very pleased to present a symposium on credit derivatives featuring three speakers, each of whom has an extraordinarily broad knowledge of this exciting area, from theoretical research at the highest level to execution strategies on the trading desk. 
 
Date:
Friday, January 27, 2006                                                                    
Location:
New York University
Stern School
of Business
Kaufman Management Center
Room 1-70
44 West Fourth Street
New York, NY  10012
Direction to Stern  
For directions and maps, click here
Registration        
Admission is free, but please RSVP to the Salomon Center
(salomon@stern.nyu.edu, 212-998-0700)
 
 
PROGRAM
2:30
         
Welcome and Overview of the NASDAQ Derivatives Research Project
Stephen Figlewski , Director of the NASDAQ Derivatives Research Project
 
 
 
3:00
 
David Lando, Professor of Finance, Princeton University and Copenhagen Business School
"Current Issues in Credit Risk Modeling"
 
 
 
3:45
 
Refreshment Break
 
 
 
4:00
 
Arvind Rajan, Managing Director, Relative Value Trading, Citigroup
"An Idiosyncratic Survey of Opportunities in the Credit Derivatives Markets"
 
 
 
4:35
 
Peter Carr, Head of Quantitative Financial Research at Bloomberg L.P.
Director of Masters in Math Finance Program, Courant Institute, NYU
"Linkages between CDS and Equity Options"
 
 
 
5:10
 
Wrap up
 
 
 
5:15
 
Reception