Tutorial sessions will be conducted on 16th December, 2014 by eminent academicians from India and abroad. Tutorials will be particularly useful for research scholars and academicians. Tutorial themes will be announced along with the program schedule.
Tutorial
1: An Overview of Credit Risk Modeling
Faculty: Professors
Srikanth Iyer and Jayadev M.
Coverage: We will start with an outline of the scope of credit risk modeling and briefly
describe the various problems that come under this framework. There are broadly two issues involved, namely the determination of the probability of default of individual obligors or instruments and then to derive the loss distribution of a portfolio comprising of such individual instruments. The key challenge is to model default correlations. We will first consider some techniques for determining default probabilities including Merton’s model for pricing corporate bonds. Some approaches to determining the portfolio loss distribution such as the KMV,
Credit
Metrics, Credit Portfolio View, Credit Risk+ and dynamic intensity models will be
discussed. Finally we will consider the pricing of credit derivatives such as Credit
Default Swaps and CDOs.
Faculty
Profile:
Srikanth Iyer: Professor Srikanth Iyer is Masters (5 yr. Integrated) in Statistics from IIT-Kanpur in 1990, Ph.D. from University of California, Santa Barbara in 1994, and Post-doctoral research at Technion, Israel and joined as faculty at IIT-Kanpur in 1996 and moved to IISc in 2004. His areas of research interest are branching processes, stochastic geometry with applications to wireless networks, random graphs and mathematical finance.
Jayadev M.:
Tutorial
2: Linear factor models: Evaluation and Testing
Faculty:
Professor Robert Kimmel
Faculty Profile:
Robert Kimmel: Professor Kimmel is a Ph.D. from University of Chicago. Prior to his Ph.D., Professor Kimmel has completed his MBA from University of Chicago, MS in Computer Science from Columbia University and BSE in Computer Science and Engineering from University of Pennsylvania. He is currently a faculty at the National University of Singapore having earlier taught at EDHEC, Ohio State University and Princeton University. His research interest lie in Term Structure Models as well as in Linear Models.