Issues in CDO modeling
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Date: 10-24-2005
Start Time:
6:00pm
End Time: 7:30pm
Speaker: Leif Andersen, Banc of America
Location: 412 Schapiro CEPSR, Davis Auditorium
ABSTRACT
We survey and comment on models for CDO pricing, and highlight outstanding challenges.
BIO
Leif Andersen is the head of the credit and interest rate quantitative research teams at Banc of America Securities. He has experience modeling derivatives in many markets and holds a PhD in Finance from Aarhus School of Business, as well as MSc's in Electrical and Mechanical Engineering from the Technical University of Denmark