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Title

Credit Default Swaps and the Structure of their Markets

Event Description

 Edmonton CFA Society

Credit Default Swaps and the Structure of their Markets


Credit default swaps (CDSs) are financial instruments that insure the buyer of the contract against a default event at some premium. When the default event refers to a company, this premium of a CDS is an important indicator of the company's default risk. CDSs were a major driver in the spread of the Global Financial Crisis of 2007-2008. Consequently, an important part of the after-crisis regulation concerned CDSs and changed their markets.
 
After an introduction to the mechanisms of CDSs, we will discuss the market participants' motives to trade CDSs, the structure of CDS markets, and how market participants adjust for the risk that their counterparties default. A crucial role in these markets is played by intermediaries, which are banks that are on both buy and sell sides of CDS markets. We will analyze and explain why there are intermediaries in these markets and which banks act as intermediaries. Part of this talk is based on an ongoing collaboration with the U.S. Federal Reserve Board.



Dr. Christoph Frei

Christoph is an associate professor of mathematical finance at the University of Alberta. He grew up in Switzerland and studied mathematics at ETH Zurich. During his PhD studies in mathematical finance at ETH Zurich, he worked in the financial industry. After receiving his PhD degree, Christoph was a researcher at École Polytechnique in Paris before joining the University of Alberta in 2010. While on sabbatical from the University of Alberta in the academic year 2016/7, Christoph was working on research projects about CDS markets at the U.S. Federal Reserve Board and on an independent verification of risk models with UBS in the U.S. regulatory context. His current research is in mathematical finance (algorithmic trading and credit risk management) as well as mathematical economics (over-the-counter markets, such as the CDS markets, and the economic impact of digital currencies).

Thursday May 17, 2018
Westin Edmonton
110135 100 Street NW
11:30AM - 1:00PM

Members: $35.00 | Non-Members: $40.00
Member Table of Eight: $280.00 | Non-Member Table of Eight: $320.00

REGISTRATION
Registration deadline is Monday May 14, 2018
Cancellation Policy: Refunds will be issued for cancellations received 72 hours prior to the event . No refunds will be issued for no-shows.

 

The views expressed by the speaker do not necessarily reflect the views or policies of CFA Society Edmonton its Board of Directors or its members. CFA Society Edmonton does not guarantee the source, originality, accuracy, completeness or reliability of any statement, information, data, finding, interpretation, advice, opinion, or view presented, nor does it make any representation concerning the same. 

Images and video footage from this event may be distributed though CFA Society Edmonton's website, eNewsletter and social media avenues. By registering, you are agreeing to such distribution.​


Event Type

Society; Educational

Education Topic

Economics

Start Time

5/17/2018 11:30 AM

End Time

5/17/2018 1:00 PM

City

Edmonton

State/Province

AB

Event Country

Canada

Event Region

Americas

Location Info

​The Westin Edmonton

Speaker

Dr. Chris Frei

CE Credits

1

SER Credit

0

Currency

CAD

Member Price

$35

Non-Member Price

$40

Candidate Price

$35

Registration

Please use the link above to register.​

All Day Event

 

Recurrence

 

Location

 

End

5/17/2018 1:00 PM

Attachments

Content Type: MyCFA Calendar
Created at 4/2/2018 12:25 PM by jmarage@cfacalgary.com[CASMSTS:username]
Last modified at 4/3/2018 6:35 AM by dkunert@cfacalgary.com[CASMSTS:username]