Announcement: Talk with Prof. Suresh Sundaresan, Columbia University
Date: 24.06.2002
Time: 04:30 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien, Mezzanin
Title of the talk: Default Risk and Portfolio Management
Abstract: Due to the decreasing size of government debt markets and increase
in securitized debt products, credit-risky asset classes have become an
increasingly important part of the fixed income portfolio management
industry. Asset classes such as collateralized debt obligations, corporate
debt, asset-backed securities confront portfolio managers with arguably
better expected returns but also expose investors to higher credit and
liquidity risk exposures. The seminar will explore the development of these
markets, new opportunities and risks that they present. In addition, we will
review the current thinking about measuring and managing credit and
liquidity risks in different asset classes. Institutional developments such
as collateralization, marking to market, trigger covenants will be
presented. Conceptual risk measurement techniques and rating procedures will
also be outlined