Research on credit derivatives

在过去一年的大部分时间里，“信贷紧缩”一直是报纸的头条新闻。 贝尔斯登、雷曼兄弟、房利美、房地美、AIG等大型金融机构要么破产，要么被美国政府接管并纾困。 全球央行担心全球金融体系的稳定性和对全球经济的潜在影响，被迫向金融市场注入大量流动性。 这场危机的核心金融工具是复杂的信用衍生品，如债务抵押债券（CDO）及其相关产品。 人们普遍认为，目前行业内对CDO进行估值和对冲的方法在信贷危机期间表现不佳。 我建议开发更好、更可靠的方法来评估和对冲CDO，从而提高我们对这些复杂金融工具的理解。 这一建议建立在我最近在这一领域取得的进展的基础上。

For much of the past year, the 'credit crunch' has been front-page news. Large financial institutions such as Bear Sterns, Lehman Brothers, Fannie Mae, Freddy Mac, AIG, and others, have either failed or been essentialled taken over and bailed out by the US government. Central banks globally, worried about the stability of the global financial system and the potential impact on the global economy, have been forced to inject large amounts of liquidity into financial markets. The financial instruments at the heart of this crisis are complex credit derivatives such as collateralized debt obligations (or CDO's) and their relatives. It is widely agreed that the current industry approaches to valuing and hedging of CDO's have performed poorly during the credit crunch. I propose to develop better and more reliable methods for valuing and hedging CDO's, and thus, to improve our understanding of these complex financial instruments. This proposal builds on my recent progress in this area.