El Departamento de Economía de la Universidad de Chile tiene el agrado de invitar a usted a un nuevo Seminario Académico:

Título - On the Actual Behavior of Credit Derivatives Based on Homogeneous Reference Portfolios

Presenta - Arturo Cifuentes (Faculty of Economics and Business, CREM, University of Chile)

Abstract - We apply an analytical approach to analyze two credit-derivative investments: (i) a synthetic index linked to high-yield corporates; and (ii) an actual transaction based on mortgage bonds. We show that the conventional approach to analyze these structures (Monte Carlo simulations combined with the Gaussian copula) fails to account for the tri-modal nature of the underlying portfolio defaults distribution, and consequently, risk assessments based on this method give a misguided view of the risk-reward profile of such investments.  Furthermore, we show that the benefits of portfolio diversification in the context of credit-risk portfolios are limited in high-correlation scenarios. These findings have important consequences for regulators, risk managers and investors.

El  Seminario  se realizará el miércoles 06 de agosto de 13:00 a 14.00 hrs, en  la Sala P-308 Tercer Piso del edificio Placa de la Facultad de Economía y Negocios de la Universidad de Chile, ubicada en Diagonal Paraguay 257.