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Avoiding the Next Asia Crisis with
Reduced Form Credit Models

Tuesday, 27 February 2024 | 8:30 AM to 1:00 PM

Venue: SAS Malaysia Office | Suite 6-3A, Level 6,
Menara CIMB, Jalan Stesen Sentral 2. Kuala Lumpur KUL 50470

Cost: Complimentary

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When uncertainty and pessimism abound within financial markets, the choice of Default Probability Analytics will have a direct impact on potential investment losses and credit losses. Join our seminar to learn how we can align the default probability Modeling strategy closer to reality.

This is a closed-door event for up to 20 people.

Seminar Agenda highlights include: -

  • The History of Credit Risk Analysis defines “Common Practice”
  • Compare three approaches: Ratings, the Merton Model and Reduced Form Default Models
  • Best practice Early-warning case studies from Asia, using the Reduced Form Model approach

Who will be at our Event?

Decision makers and business leaders from the financial industry sector in functions related to Bond Investment, Corporate Credit Division, Fixed Income Investment Desk.

Agenda

Tuesday, 27 February 
8:30 a.m.
Registrations
9:00 a.m.
Welcome Address
9:10 a.m.
- Learning objectives for the session
- Four key risk questions that every firm should be able to answer
- The challenges FS sector face, to better model credit risks
- History of Credit Risk Analysis defines "Common Practice"
- Measuring Accuracy in Default Probability Models
10:00 a.m.Tea break
10:10 a.m.
- Public Domain Accuracy Comparisons for Ratings, Merton and Reduced Form Default Models
- An introduction to Reduced Form Default Probability Estimation
- Conclusion
11:00 a.m.Short break
11:10 a.m.- Demo
- Q&A
12:00 p.m.Lunch

Hosted by

Donald R. van Deventer

Donald R. van Deventer, Ph.D.
Managing Director and co-chair of the Center for Applied Quantitative Finance in the Risk Research and Quantitative Solutions division
SAS
Yin Lu

Lu Yin, Ph.D.
Principal Consultant, ASEAN Customer Advisory
SAS

This event is no longer available for registration.

 
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