Financial Statistics/Marketing Seminar

Sponsored by SORA - the Southern Ontario Chapter of the American Statistical Association and the Southern Ontario Regional Association of the Statistical Society of Canada. This seminar is co-sponsored by SAS, the Bank of Nova Scotia, the Royal Bank and Trans Union of Canada and is the fourteenth in a series.

Everyone is welcome to attend. There is no fee for these seminars, but space is limited so pre-registration is essential.

Guest Speaker:

Anthony Vaz & Robert Kowara
Capital Markets Division, Office of the Superintendent of Financial Institutions Canada

Collateralized Debt Obligations Modelling

Date:

Tuesday, April 29, 2003

Time:

2:00 - 3:30 p.m.

Place:

RBC Training Centre
20 King Street West, 10th Floor
Toronto

King Subway

For those who drive, please don't park on any main streets (King, Yonge, Bay or Adelaide);
cars will be towed away from 3:00 to 6:00 p.m.

The 14th Seminar on Statistics in Finance & Marketing features Dr. Anthony Vaz's and Mr. Robert Kowara's collateralized Debt Obligations Modelling for securitizing the credit risk associated with pools of bonds, loans, and credit default swaps. Please RSVP to Alison Burnham by replying to this email. The seminar is free but space is limited so pre-registration is required.

ABSTRACT

Collateralized Debt Obligations (CDO) are new products for securitizing the credit risk associated with pools of bonds, loans, and credit default swaps. The structure of these products and the different funding mechanisms will be described in detail. These details are motivated by the desire to reduce regulatory capital and a market arbitrage between spreads on single name and multi-name correlated credit risk.

Two popular valuation techniques for CDO's are the Moody's Binomial Expansion Technique (BET) and the Duffie-Singleton default intensity method. These methods will be described and illustrated with a computer simulation. The use of these techniques for CDO product design and risk management will be discussed.

Please RSVP

If you plan to attend this seminar, please RSVP to Alison Burnham by e-mail. Please contact Alison if you want more information about the SORA Financial Statistics/Marketing Seminars.

Alison Burnham
Chair, SORA Committee for Financial Statistics & Marketing
Exchange Solutions Inc.
(416) 646-7103
aburnham@exchangesolutions.net

Scotiabank

TransUnion

 RBC

Co-sponsorship for these seminars is provided by SAS, Scotiabank, RBC Financial Group and Trans Union of Canada.

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