(NY)-Alexander Veygman - Jump on Default for Multiple Default Contingent Claims
Details
A Jump on Default Approach to Modeling Multiple Default Contingent Payoffs
Alexander Veygman
Seminar Program
5:45pm Registration
6:00pm Seminar
7:30pm 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. Disclaimer
This a joint IAQF/Thalesians seminar, and not an instructional program of New York University.