Program Schedule
 

Credit Derivative Symposium
Fordham Graduate School of Business
Friday, September 29, 2006
10:30 a.m – 5:30 p.m. + Reception
Lincoln Center Campus
113 West 60 th St., 12th Floor
New York, NY  10023
 

10:00 –	Check-in and Late Registration
10:30 –	Introduction – Father Joseph McShane, President, Fordham University
10:40 –	Presentations (2) - Prof. Sundaresan and Michael Barnes; Moderator, Ann Lee
12:00 –	Lunch – Speaker: Hung Q. Tran; Introduction by Pamela Moulton
1:00 –	Greetings – Dr. Howard Tuckman, Dean, Fordham Graduate Business
1:10 –	Presentations (2) – Prof. Sundaram and Prof. Wu; Moderator, Ren-Raw Chen
2:20 –	Presentation - ISDA Credit Event Panel: Kimberly Summe, David Mengle, Prof. Rydqvist
3:10 –	Break
3:20 –	Presentations (2) - Howard Hill and Todd Kushman; Moderator, Ann Lee
4:20 –	Presentations (2) - Luis Reyna and Prof. Glasserman; Moderator, Anlong Li
5:30 –	Reception

 The following agenda comments are not meant to indicate an order of presentation.

Hung Q. Tran (IMF) will discuss issues in global financial markets.
(Download presentation material in PDF file)

Professor Suresh Sundaresan (Columbia) will speak on the subject of risk management, credit derivatives, and credit risk.
(Download presentation material in PDF file)

Howard Hill (Babson) and Todd Kushman (Bear Stearns) will appear on a mini-panel and speak about securitization and structuring, past and present, with an emphasis on mortgage backed products.

Professor Paul Glasserman (Columbia) will discuss some computational aspects of credit and credit derivatives.

Michael Barnes (Tricadia) will speak on the “The Emergence of CDOs as End Investor and the Resulting Potential for Systemic Risk in the Fixed Income Markets.”

Kimberly Summe (ISDA) and David Mengle (ISDA) will make a presentation on the auction procedure for credit events that was implemented in late 2005. Examples of such auctions can be seen at www.creditfixings.com , which is associated with Creditex, Inc., and Markit Group Limited. Professor Kristian Rydqvist (SUNY Binghamton) will comment upon that procedure from a theoretical and empirical perspective.
(Download presentation material in PDF file)

Professor Liuren Wu (Baruch) will talk about evidence and theory linking stock option implied volatilities and CDS spreads underlying the same reference company.
(Download presentation material in PDF file)

Professor Raghu Sundaram (NYU) will discuss new products that link credit risk and equity, and some related modeling issues.
(Download presentation material in PDF file)

Luis Reyna (Swiss Re) will speak on a topic to be specified later.