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On the Relative Pricing of long Maturity S&P 500 Index Options and CDX Tranches
Date: 11-18-2010
Start Time: 5:30pm
End Time: 7:00pm
Speaker: Pierre Collin-Dufresne, Columbia Business School
Location: Park Avenue Plaza at 55 East 52nd Street 11th Floor
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ABSTRACT
We investigate a structural model of market and firm-level dynamics in order to jointly price long-dated S&P 500 options and tranche spreads on the five-year CDX index. We demonstrate the importance of calibrating the model to match the entire term structure of CDX index spreads because it contains pertinent information regarding the timing of expected defaults and the specification of idiosyncratic dynamics. Our model matches the time series of tranche spreads well, both before and during the financial crisis, thus offering a resolution to the puzzle reported by Coval, Jurek and Stafford (2009).
BIO
Pierre is Professor of Business at Columbia Business School. Prior to joining Columbia University in July 2008, Pierre worked three years as a senior portfolio manager responsible for fixed income and credit strategies in the Quantitative Strategies Group of Goldman Sachs Asset Management. Pierre joined GSAM in July 2005 from the Haas School of Business of U.C. Berkeley where he had been an Associate Professor of Finance since 2004. After obtaining his Ph.D. in 1998 from the HEC School of Management, Paris, France, he started as an Assistant Professor of Finance at the Graduate School of Industrial Administration of Carnegie Mellon University, where he became Associate Professor in 2003. Pierre's teaching and research interests include Asset and Contingent Claim Pricing, Fixed Income Securities, Default Risk, Emerging Markets, International Finance, and Real Estate Economics. His research has been published in refereed journals such as Econometrica, Journal of Finance, and Journal of Derivatives. He has served as a member of the NBER and of the Advisory Research Board of Moody's. He also served as associate editor for the Journal of Quantitative Financial Analysis, Finance and Stochastics, Mathematics and Financial Economics, and the Review of Financial Studies.
Date: 11-18-2010
Start Time: 5:30pm
End Time: 7:00pm
Speaker: Pierre Collin-Dufresne, Columbia Business School
Location: Park Avenue Plaza at 55 East 52nd Street 11th Floor
RSVP RSVP for NYQF Seminars
ABSTRACT
We investigate a structural model of market and firm-level dynamics in order to jointly price long-dated S&P 500 options and tranche spreads on the five-year CDX index. We demonstrate the importance of calibrating the model to match the entire term structure of CDX index spreads because it contains pertinent information regarding the timing of expected defaults and the specification of idiosyncratic dynamics. Our model matches the time series of tranche spreads well, both before and during the financial crisis, thus offering a resolution to the puzzle reported by Coval, Jurek and Stafford (2009).
BIO
Pierre is Professor of Business at Columbia Business School. Prior to joining Columbia University in July 2008, Pierre worked three years as a senior portfolio manager responsible for fixed income and credit strategies in the Quantitative Strategies Group of Goldman Sachs Asset Management. Pierre joined GSAM in July 2005 from the Haas School of Business of U.C. Berkeley where he had been an Associate Professor of Finance since 2004. After obtaining his Ph.D. in 1998 from the HEC School of Management, Paris, France, he started as an Assistant Professor of Finance at the Graduate School of Industrial Administration of Carnegie Mellon University, where he became Associate Professor in 2003. Pierre's teaching and research interests include Asset and Contingent Claim Pricing, Fixed Income Securities, Default Risk, Emerging Markets, International Finance, and Real Estate Economics. His research has been published in refereed journals such as Econometrica, Journal of Finance, and Journal of Derivatives. He has served as a member of the NBER and of the Advisory Research Board of Moody's. He also served as associate editor for the Journal of Quantitative Financial Analysis, Finance and Stochastics, Mathematics and Financial Economics, and the Review of Financial Studies.