Events

Bond, CDS, and CDO Pricing Under Structural Recovery Models

Academic,
Seminar / Lecture
 
Open to the Public

Event poster

You are cordially invited to attend the upcoming FRE Lecture on Thursday, April 25th at 6PM in LC 400 - Dibner Building. Dr. Albert Cohen will present a talk on the following topic:

Title: 

Bond, CDS,and CDO Pricing Under Structural Recovery Models

Abstract: 

This talk will present recent results in bond/cds pricing that address the application of stochastic recovery models, decoupling recovery risk from default risk.

We also extend this approach to pricing collateralized debt obligations (CDO’s.) Specifically, we employ this technology to price CDO tranches using stochastic recovery and the Vasicek model for large loan portfolios. 

Bio: 

Albert Cohen is the new Director of Program Development for the Actuarial Science Program at Michigan State University. Albert’s research focuses on the interaction between probability, science, and economics. An example of this interdisciplinary view of scientific modeling is his earlier work on a stochastic approach to the coarsening of cellular networks. Recently, Albert has expanded his research line to questions in corporate finance. This includes developing new approaches to risk measurement using stochastic optimal control, models of online auction behavior, and the structural modeling of corporate bond pricing under the incorporation of recovery processes. Albert received his Ph.D. in Mathematical Sciences from Carnegie Mellon University in 2007. 

We look forward to having you join us next week for the talk and refreshments. See attached poster for more details. Please mark your calendars.

Also, if you are interested in attending the free Quantitative Finance Weekly Seminars, please see the link below: 

https://wp.nyu.edu/qfws/