Moorad Choudhry, Visiting Professor, Department of Economics, London Metropolitan University, and Visiting Research Fellow, ISMA Centre, University of Reading
Moorad Choudhry, Visiting Professor, Department of Economics, London Metropolitan University, and Visiting Research Fellow, ISMA Centre, University of Reading
15:05
The impact of liquidity and default on ABCP conduits and SIVs
- Lessons learned from the great liquidity crash of August 2007
- Funding considerations for Issuers and conduit/CDO fund managers
- Rating agency considerations
Synthetic CDO note pricing and correlation sensitivity: an accessible one-factor recursive approach
- Calculating loss distribution
- Default correlation
- Note pricing mechanics
- Importance of correlation
- Tranche subordination and sensitivity
- Implications for structuring
Moorad Choudhry, Visiting Professor, Department of Economics, London Metropolitan University, and Visiting Research Fellow, ISMA Centre, University of Reading
17:30
Chairman’s roundup and closing remarks
17:40
Seminar concludes
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