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Seminar

Department of Systems Engineering and Engineering Management,

The Chinese University of Hong Kong

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Title: Hybrid commodities, equities, credit and rate derivatives, the challenges in product and model development from a practitioner’s view point

Speaker: Chak Wong, Executive Director, UBS

Date : October 4th, 2006 (Wednesday)

Time : 4:30p.m. - 5:30p.m.

Venue : Room 513

MMW Engineering Building(Engineering Building Complex Phase 2)

CUHK

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Abstract:

Through three real examples, we study the risk factors involved

in hybrid derivative products spanning across several asset

classes, including commodities, equities, credits and interest

rates. We discuss the challenges for practitioners in managing

and measuring these risk factors. Common misconceptions and

misunderstandings are presented together with practical solutions.

Current industrial models for each asset class are illustrated and

their weaknesses in handling this class of derivates are pointed out.

We demonstrate the difficulties for the current generation of models

in handling correlation skew and catastrophic gap risk, and show

how we may estimate the error in practice.

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Biography:

Chak Wong is currently an executive director of UBS.

He is responsible for trading exotic derivatives across G7

and emerging market interest rates, FX as well as all hybrid

derivatives. Before moving to Hong Kong in Feb 06, Chak Wong

worked for UBS London in the same position. He had started

in Goldman Sachs as a quantitative strategist for interest

rate exotics. Later, he moved to the credit derivatives

desk of Morgan Stanley and then joined back the interest

rate, inflation and equity exotic derivatives desk of Goldman

Sachs again.

Chak Wong had graduated from Oxford University with a D. Phil

and M. Phil in Economics. His undergraduate education includes

Electronic Engineering and Pure Mathematics in CUHK and U.C.

Berkeley. Chak Wong was Rhodes Scholar of Hong Kong in 1996.

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

Enquiries: Mr. Peixiang Zhao or Prof. Jeffrey Xu Yu,

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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