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Cambridge Finance Workshop - David Lando

Cambridge Finance Workshop Series are usually held on Thursdays during term time. The workshops are an opportunity for those working in finance to present their latest results or papers.
When Nov 24, 2016
from 01:00 PM to 02:00 PM
Where Castle Teaching Room, Cambridge Judge Business School
Contact Name
Contact Phone 01223768129
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David Lando, Copenhagen Business School

David Lando

David Lando is a Professor of Finance at Copenhagen Business School and Director of the Center for Financial Frictions (FRIC) funded by the Danish National Research Foundation. He holds a Master's degree from the joint mathematics-economics program at the University of Copenhagen and a PhD in statistics from Cornell University.
His main area of research in finance is credit risk modelling and risk management and some of his work has appeared in Econometrica, Journal of Financial Economics and Review of Financial Studies. He is the author of a monograph on credit risk modeling published by Princeton University Press.
He has been a visiting scholar at Princeton University, the Federal Reserve Board in Washington, The Federal Reserve Bank of New York.
Before joining Copenhagen Business School, he was a Professor at the Department of Applied Mathematics and Statistics at the University of Copenhagen.

Credit Risk Modelling

Title:

Safe-Haven CDS Premiums

 

(joint with Sven Klingler)

 

Abstract

We develop a model in which a derivatives-dealing bank faces capital charges from uncollateralized swap positions with sovereigns, and buys Credit Default Swap (CDS) contracts to obtain capital relief. CDS premiums depend on margin requirements for buyers and sellers of CDS contracts, the value of capital relief for the dealer banks, and the return on a risky asset. We explain the regulatory requirements that lead derivatives dealers to buy CDS and translate volumes of derivatives contracts outstanding between sovereigns and banks into CDS hedging demand. We argue that CDS premiums for safe sovereigns are primarily driven by regulatory requirements.

 

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