COMMERCIAL AND INDUSTRIAL MATHEMATICS

August 29, 2014

Seminar Series on Quantitative Finance - September 25, 2002

Abstracts

John Hull, Maple Financial Group Professor of Derivatives and Risk Management, Joseph L. Rotman School of Management
The Credit Derivatives Market

This presentation will explain different credit derivatives products and discuss the approaches that can be used to value them. It will also outline the problems in developing indices of credit default swap spreads and how they can be resolved.

Alan White, Professor of Finance, Joseph L. Rotman School of Management
Can Credit Default Swap Spreads Be Used to Predict Downgrades?
This presentation will consider whether credit default swap spreads can be used to predict credit downgrades. The results presented are based on data collected by a leading credit default swap broker over the last four years.