GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
(Apologies for any cross-listings!):
Date: December 19th, 2005 - 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Darrell DUFFIE, Stanford
http://www.stanford.edu/~duffie/
Title:
MEASURING AND PRICING CORPORATE DEFAULT RISK: WHERE ARE WE NOW?
Abstract:
Some of the fog surrounding the measurement and pricing of corporate
credit risk seems to be lifting, as the empirical evidence builds. There
are nevertheless some important puzzles to be explained, and we remain
in severe need of better models, especially for the pricing and risk
management of correlated credit risk products (for which the
market-standard copula models have significant inadequacies). Investors
are compensated for bearing corporate default risk with market premia
(credit yield spreads or credit derivative prices) that appear to be
large relative to expected losses, and highly variable across time.
There is evidence of significant clustering of defaults across corporate
issuers, above and beyond that suggested by the correlation of
observable risk factors such as equity returns, volatility, leverage,
interest rates, and broad macroeconomic business-cycle variables. This
is a clue to the surprisingly high prices of tranched credit products
that are exposed only to those portfolio default losses that are above
extremely high thresholds relative to historical losses. Drawing from a
number of new collaborative research projects, this talk will present
some recent evidence, suggest some new modelling approaches, and
speculate on the underlying economic causes of these puzzles, which may
include unobservable common risk factors, sluggish movement of capital
across market segments, and agency in the asset management business.
About Darrell Duffie:
Darrell Duffie is the James I. Miller Professor of Finance at The
Graduate School of Business, Stanford University, where he has been a
member of the finance faculty since receiving his Ph.D. at Stanford.
Duffie, recently a Director of The Board of The American Finance
Association, is a Fellow of the Econometric Society, a Research
Associate of the National Bureau of Economic Research, a member of
Moody's Academic Research Committee, and the 2003 IAFE/Sunguard
Financial Engineer of the Year. He is currently on the editorial boards
of Econometrica and The Journal of Financial Economics, among other
journals.
Please REGISTER:
Mail: gutmann.bwl(a)univie.ac.at
Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074
Contact and further information:
Gutmann Center for Portfolio Management
University of Vienna - Mag. Dorothea GRIMM
Bruenner Str. 72 - 1210 Wien (Austria)
phone: +43-1-4277-38186 - fax: +43-1-4277-38074
mail: gutmann.bwl(a)univie.ac.at - web:
www.gutmann-center.at