-
Errors in Moodys Subprime Mortgage CDO Model
Mon, Dec 01, 2008 @ 02:15 PM - 03:15 PM
Daniel J. Epstein Department of Industrial and Systems Engineering
University Calendar
Colloquium in Mathematical FinanceWhere: KAP 249When: Monday, December 1, 2:15--3:15 Title: "Errors in Moody's Subprime Mortgage CDO Model"Speaker: Dr. Bin HongSenior Vice President, Director of Quantitative Research and Development, Union Bank of CaliforniaAbstract: We begin with a brief introduction of the concepts of CDO and Moody's rating methodology (Binomial Expansion Technique-BET). We will then present an in-depth study on errors in applying BET for subprime mortgages (e.g., expected loss, loss distribution, and default correlation). Finally, we give a business behavior analysis of rating agencies in Subprime Mortgage CDOs and web of distribution channels of these CDOs. We will leave an open question to future modelers on how to prevent such costly error happening again.
Location: Kaprielian Hall (KAP) - 249
Audiences: Everyone Is Invited
Contact: Georgia Lum
