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                                                     Seminar

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

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Title	:	Default Clustering and Valuation of Collateralized Debt Obligations
Speaker	:	Prof. Xianhua Peng
		Dept. of Mathematics
		HKUST
Date	:	Jun 1st, 2011 (Wednesday)
Time	:	11:30 a.m. - 12:30 p.m.
Venue	:	Room 513
		William M.W. Mong Engineering Building
		(Engineering Building Complex Phase 2)
		CUHK

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Abstract:
　

The recent financial turmoil has witnessed the powerful impact of the default clustering effect (i.e., one default event tends to trigger more default events in the future and cross-sectionally), especially on the market of collateralized debt obligations (CDOs). We propose a model based on cumulative default intensities that can incorporate the default clustering effect. Furthermore, the model is tractable enough to provide a direct link between single-name credit securities, such as credit default swaps (CDS), and multi-name credit securities, such as CDOs. The result of calibration to the recent market data, when Bear Sterns, Lehman Brothers, etc. collapsed and default correlation among firms was substantially high, shows that the model is promising.

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Biography:
　

Xianhua Peng has been an Assistant Professor in the Department of Mathematics at Hong Kong University of Science and Technology since July 2010. He was a Fields Ontario Postdoctoral Fellow at Fields Institute and York University from August 2009 to July 2010. He received a Ph.D. degree in Operations Research under the supervision of Dr. Steven S.G. Kou at Columbia University in May 2009. He got a B.S. in Information Science and a M.S. in Applied Mathematics in the School of Mathematical Sciences at Beijing University in July 2000 and July 2003, respectively. His main research interests are in financial engineering, risk management, and applied probability.

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

Host	:	Prof. Duan Li
Tel	:	(852) 2609-8316/8323
Email	:	dli@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/~seem5201
Email	:	seem5201@se.cuhk.edu.hk

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