Some Latest Developments in Credit Portfolio Modeling
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Date: 09-11-2006
Start Time:
6:00pm
End Time: 6:30pm
Speaker: David Li, Credit Derivatives Group, Barclay Capital
Location: 412 Schapiro CEPSR, Davis Auditorium
Abstract
This talk provides an overview about the latest development in credit portfolio products and modeling techniques.
Bio
David Li is Head of Quantitative Analytics in the Credit Derivatives Group at Barclays Capital in New York. He has achieved broad recognition in the industry for his work on pricing portfolio credit derivatives, such as CDOs, using copula functions. David has previously worked at Citigroup, AXA Financial, The RiskMetrics Group and CIBC. David has a PhD degree in statistics and Master's degrees in economics, finance and actuarial science. He is an associate of the Society of Actuaries and an Associate Editor of the North American Actuarial Journal.