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2008年
报告题目: Structured Investment Products with Caps and Floors
报 告 人: Dr.Carole Bernard (Assistant Professor Department of Statistics and Actuarial Science University of Waterloo)
时间地点: 2008年7月23日下午3:00-4:00 思源楼703
摘       要: Structured products are popular with retail investors. We focus on a particular design where the investor’s return is capped periodically and there is also a guaranteed minimum at maturity. The investor’s maximum possible return occurs if the cap level is met at each period and this is an extremely low probability event. Standard finance theory predicts that consumers should prefer simpler contracts with a single global cap. If consumers overweight the probability of getting the maximum possible return they may prefer the more complex contract. We explore this explanation and provide evidence that sellers encourage this type of overweighting by the projections they select in the prospectus documents.
报告题目: Valuation Challenges Arising from Subprime Crisis
报 告 人: Dr. Qingji Yang (Head of Ernst & Young's Quantitative Advisory Services in the United States)
时间地点: 2008年7月18日下午2:30-4:00 思源楼703
摘       要: The talk will start with a brief introduction of residential mortgage securitization process and structure, and key players in the securitization process. Then we will discuss what caused the subprime crisis and who was responsible for the mess. The talk continues on discussing the impact of the subprime crisis to the financial market and financial institutions. The focus of the talk is on the valuation challenges for subprime securities, including valuing subprime RMBS securities and super senior CDOs backed by subprime securities.
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