Thursday, February 22, 2018 — 6:00 PM EST

New Ideas for Credit Portfolio Management by Dr. David Li, Shanghai Advanced Institute of Finance and Columbia University

Abstract:

This talk first provides an overview about the copula function approach to credit portfolio modeling.  Some of the key theoretical deficiency in its current framework is then highlighted.  Finally, some initial result based on the equilibrium approach to the credit portfolio modelling is presented.  This new approach is based on the extension of the copula function for random variables to the copula function for stochastic processes.  The basic definition, properties of copulas for stochastic processes are discussed. This new approach allows us to theoretically link our credit portfolio modeling with our classical equity portfolio modeling under the CAPM setting.

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