Joint Seminar presented by WatRISQ, University of Waterloo and IEOR, Columbia University, "New Ideas for Credit Portfolio Management" by Dr. David LiExport this event to calendar

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

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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.

Bio
Dr. Li teaches at Shanghai Advanced Institute of Finance and Columbia University. Previously he worked in the financial industry for more than twenty years in the areas of new product analytics, risk management, ALM and investment analytics. He was the chief-risk-officer for China International Capital Corporation (CICC) Ltd, and head of credit derivative research and analytics at Citigroup and Barclays Capital, and head of modeling for AIG Investments.

David has a PhD degree in statistics from the University of Waterloo, and Master’s degrees in economics, finance and actuarial science, and a bachelor’s degree in mathematics.  Dr. Li is currently an associate editor for North American Actuarial Journal, an adjunct professor at the University of Waterloo, a senior research fellow at Global Risk Institute in Toronto, and a senior advisor to the Risk Management Institute at National University of Singapore.  Dr. Li was one of the pioneers in credit derivatives. His groundbreaking work of using copula function for credit portfolio modeling has been adopted as a benchmark method, and “Li model” is still used in the market today, and widely covered by Wall Street Journal, Financial Times, Nikkei CBC News etc.

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Location 
Manhattan Institute of Management
3rd Floor
110 William Street
New York 10038
United States

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