|
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. |
|