New models and valuation methods for portfolio credit derivatives

有价证券信用衍生品提供了一种机制，可以在一笔交易中同时将信用敞口转移给大量交易对手。然而，目前还没有为此类信贷投资组合提供普遍接受的估值模型。该项目旨在开发基于数学的新技术，以使西太平洋银行(行业合作伙伴)等机构能够以最佳方式管理其信用敞口。其结果将是一类卓越的模型和操作风险管理工具，将确保正确理解和准确量化这些交易的价值和风险。这些模式将增强行业的知识基础和学术研究。

Portfolio credit derivatives provide a mechanism to simultaneously transfer credit exposures to a large number of counterparties within a single transaction. However, no generally accepted valuation model for such credit portfolios is currently available. This project aims to develop new mathematically-based technologies to allow institutions such as Westpac (the Industry Partner) to optimally manage their credit exposures. The outcome will be a class of superior models and operational risk management tools that will ensure the value and risks of these transactions are properly understood and accurately quantified. These models will enhance both the knowledge base of the industry and academic scholarship.