The New Capital Accord proposed by the Basel Committee on Banking Supervision recognizes the need for credit model testing and performance evaluation. David Shimko, President of Risk Capital Manager and Harvard Business School, will serve as moderator. Kamakura's Managing Director of Research Robert A. Jarrow and President Donald R. van Deventer present important new Kamakura Corporation research results on default probabilities for U.S. Corporations in this invitation only conference. Professor Jarrow and Dr. van Deventer will discuss the historical performance of both structural and reduced form credit models using a historical data set with more than 1.9 million observations. Professor Jarrow and Dr. van Deventer will discuss the practical use of reduced form and structural model default probabilities in the daily management and hedging of loan, derivatives and securities portfolios.
-A Review of 40 Years of Default Probability Data
-Key Drivers of Corporate Default in the United States
-A Brief Review of Structural and Reduced Form Credit Model Approaches
-Reduced Form Models: Theoretical Background
-Empirical vs. Risk Neutral Default Probabilities: How Do They Differ?
-Results of Fitting Models to 40 Years of U.S. Data
-Does Accounting Data Improve Equity Based Default Probability Estimation?
-Accuracy Ratios for Major Model Classes
-Valuation, Hedging and Pricing Using Reduced Form and Structural Credit Models:
-Basket Credit Insurance
-A Summary of the Implications for Basel II
and Director of Research of the Kamakura Corporation in February 1995. He is Ronald and Susan Lynch Professor of Investment Management at Cornell University's S.C. Johnson Graduate School of Management where he has been a professor since 1979.
The International Association of Financial Engineers (IAFE) named Professor Jarrow Financial Engineer of the Year in 1997. Dr. Jarrow is a senior fellow of the IAFE and serves on the board of directors of the American Finance Association. Professor Jarrow was an interim director of the Global Association of Risk Professionals in 2002. As one of the world's foremost authorities on credit risk, bond market dynamics and foreign exchange, Dr. Jarrow is an originator of the Heath-Jarrow-Morton multi-factor term structure model, and the author of four books and more than eighty research articles on financial theory and investment management. His book, Modeling Fixed Income Securities and Interest Rate Options, was published in 1997. Professor Jarrow's text with Stuart Turnbull Derivative Securities was published in 1997. Both books are in their second editions.
Dr. Jarrow received an A.B. in Mathematics and Management Science from Duke University, his M. B. A. in Finance from the Amos Tuck School of Business at Dartmouth College, and his Ph. D. in Finance with a minor in Economics from Massachusetts Institute of Technology.