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                                                     Seminar

             Department of Systems Engineering and Engineering Management
                                  The Chinese University of Hong Kong

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Title	:	Exact and efficient simulation of correlated defaults
Speaker	:	Prof. Kay Giesecke
		Department of Management Science & Engineering
		Stanford University
Date	:	October 17th, 2008 (Friday)
Time	:	4:30 p.m. - 5:30 p.m.
Venue	:	Room 513
		William M.W. Mong Engineering Building
		(Engineering Building Complex Phase 2)
		CUHK

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Abstract:
　

Correlated default risk plays a significant role in financial markets. This paper develops an exact simulation method for estimating the distribution of future default losses in a portfolio of correlated issuers whose defaults may be rare events. The method leads to unbiased estimates of portfolio risk measures and prices of portfolio credit derivatives, which are financial instruments that provide insurance against correlated default risk. The method is widely applicable to intensity-based, bottom-up models of portfolio credit risk, including doubly-stochastic, frailty, and self-exciting specifications.

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Biography:
　

Kay Giesecke is an Assistant Professor of Management Science & Engineering at Stanford University. He is on the faculty of Stanford\'s Financial Mathematics Program. Kay\'s research and teaching address the quantitative modeling and estimation of financial risk, in particular credit risk. His research group CreditLab has been funded by grants from JP Morgan, Morgan Stanley, Mizuho, Moody\'s Corp, Credit Suisse and American Express. Kay has served as a consultant to banks, investment and risk management firms, and governmental agencies. Prior to joining Stanford in 2005, he taught financial engineering at Cornell University\'s School of Operations Research and Information Engineering. Kay holds an M.Sc. in Electrical Engineering & Economics and a Ph.D. in Economics.

************************* ALL ARE WELCOME ************************

Host	:	Prof. Chen Nan
Tel	:	(852) 2609-8237
Email	:	nchen@se.cuhk.edu.hk
Enquiries	:	Prof. Nan Chen or Prof. Sean X. Zhou
	:	Department of Systems Engineering and Engineering Management
		CUHK
Website	:	http://www.se.cuhk.edu.hk/~seg5810
Email	:	seg5810@se.cuhk.edu.hk

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