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The IAFE is a not-for-profit, professional society dedicated to fostering the profession of quantitative finance by providing platforms to discuss cutting-edge and pivotal issues in the field.


IAFE student competition in evaluating and hedging Greek and California sovereign risk won by UC Berkeley

Wed, 22 Feb 2012 02:52:53 GMT

 

The IAFE's student competition tackled the timely and important topic of sovereign credit risk.

Commenting on the competition subject, IAFE Senior Fellow and Competition Honorary Chair Peter Carr said, "The sovereign credit crisis was chosen as the topic because of its timeliness and the IAFE's mission to help promote practical and timely research."

The student teams were challenged to help improve the analysis and modeling of financial crises and sovereign risk.  Issues in the European debt markets and the recent downgrade of US debt raise concerns about the rapidly-growing amount of sovereign credit risk in the global financial system - sovereign credit risk may be more systemic in nature than previously anticipated. Specifically, the case required teams to:

1.  Develop a model/algorithm/technique to provide a replicable, internally consistent, sovereign credit rating and a means for predicting changes to that rating.
2.  Apply their methodology and detail how they would hedge the credit risk of two different sovereign entities: (a) Greece, and (b) California.

Click here to read the case in full.

The members of the winning team were Don Goonetilleke, Yang Guo, Xin Heng, Michael Pensky, Ji Tan, led by team captain, Charles Gorintin.  The team worked under the direction of Executive Director, Linda Kreitzman.

Congratulations again to the UC Berkeley Team!

The paper, Impact of a Monetary Union on Sovereign Credit Ratings, has been included in the MoneyScience  Research Library.

Information on the 2012 Academic Competition will be released in the Fall.

Click here to read the winning paper

About the International Association of Financial Engineers (IAFE)

The IAFE is the not-for-profit, professional society dedicated to fostering the profession of quantitative finance by providing platforms to discuss cutting-edge and pivotal issues in the field. Founded in 1992, the IAFE is composed of individual academics and practitioners from banks, broker dealers, hedge funds, pension funds, asset managers, technology firms, regulators, accounting, consulting and law firms, and universities across the globe.

Through frank discussions of current policy issues, sponsoring programs to educate the financial community and recognizing the outstanding achievements in the field, the IAFE acts as a beacon for the development of quantitative finance. Throughout its history, the IAFE´s pre-eminent leadership has positioned it to respond with savvy to the evolving needs of the financial engineering community. The IAFE´s programs - from area-specific committees to monthly panel discussions to the Financial Engineer of the Year Award - are designed to provide its members with uniquely valuable activities to enhance their work in the field and opportunities to network and socialize with their colleagues.

IAFE Senior Fellows

Phelim Boyle, Peter Carr, John C. Cox, Emanuel Derman, Darrell Duffie, John Hull, Jonathan Ingersoll, Robert Jarrow, Robert Litterman, Andrew Lo, Harry Markowitz, Leo Melamed, Robert Merton, Richard Roll, Stephen Ross, Mark Rubinstein, Myron Scholes, William Sharpe, James  H. Simons, Jack L. Treynor, Oldrich Alfons Vasicek

 

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