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IAQF & Thalesians Seminar: Alexander Veygman - A Jump on Default Approach to Modeling Multiple Default Contingent Payoffs

  • 09 Jan 2018
  • 6:00 PM (EST)
  • NYU Kimmel Center, Room 914, 60 Washington Square South, New York, NY

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A Jump on Default Approach to Modeling Multiple Default Contingent Payoffs


       
A Talk by Alexander Veygman


Tuesday, January 9th

5:45 PM Registration
6:00 PM Seminar Begins
7:30 PM Reception

    
Abstract
Copula models are usually used in order to capture multiple default contingent payoffs. As such, this standard approach fails to capture credit curve gamma and cross-gamma impacts arising from non-linear dependency on CDS spreads. Neglecting these impacts lead to unexplained P&L swings for the delta hedged portfolios, as it had been demonstrated during crisis. Our approach retains systemic default feature while taking into account a joint dynamics of credit spreads.


 

Biography

Alexander Veygman had been a leading fixed income desk quantitative analyst at HSBC for the past 12 years working on valuation of various kinds of vanilla and exotic interest rates and credit hybrids derivatives. His scope of interest includes researching numerical methods to simultaneously incorporate multiple market observables to develop practical models ready to be used by fixed income desks. He holds and MS degree from NYU in Statistics & Operations Research/Math in Finance.


         

About the Series

The IAQF's Thalesians Seminar Series is a joint effort on the part of the IAQF (www.iaqf.org) and the Thalesians (www.thalesians.com). The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. 

 

Registration Fees:
Complimentary for IAQF members through this site
Thalesians Members can register here for $25
Non-Members: $25.00 by registering through this site