Applications of Credit Derivatives: Trading Counterparty Credit Risk
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Date: 09-17-2007
Start Time:
6:00pm
End Time: 7:30pm
Speaker: Michael Stanley, Goldman Sachs
Location: 412 Schapiro CEPSR, Davis Auditorium
ABSTRACT
With the growth of the credit derivatives market, it has become possible to determine a market price for previously illiquid and untradeable risks. Among these new risk asset classes is Counterparty Credit. We will discuss some simple pricing models of counterparty credit risk, and how to hedge these parameters. Finally, we will look at real world applications in context of a bank or corporation.
BIO
Michael Stanley is a Vice President at Goldman Sachs and currently
heads Goldman's Fixed Income & Equities Counterparty Credit Trading
desk. He has worked at Goldman since 1999 and was featured in Risk
Waters magazine (2003). Michael graduated Columbia's MAFN program in 2002 and has a bachelors degree from MIT in Physics.