Session TB3 - Risque / Risk
Day Tuesday, May 05, 2009 Room Gérard Parizeau President Geneviève Gauthier
Presentations
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01h30 PM- 01h55 PM |
A Multi-Name Structural Credit Risk Model with a Reduced-Form Default Trigger |
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Mathieu Boudreault, HEC Montréal, Méthodes quantitatives de gestion, 3000 Côte-Sainte-Catherine, Montréal, Québec, Canada, H3T 2A7 Geneviève Gauthier, HEC Montréal, Méthodes quantitatives de gestion et GERAD, 3000 Côte-Sainte-Catherine, Montréal, Québec, Canada, H3T 2A7 A multi-name hybrid credit risk model is presented, which is based upon the modeling of the capital structure of companies. Because of how default is triggered and how recovery rates are defined, both the moment of default and the amount of losses will be dependent across firms, further increasing potential losses. Risk management and pricing applications are presented. |
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01h55 PM- 02h20 PM |
Defining Risk Appetite |
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Diego Amaya, HEC Montreal, Quantitative Methods, 3000, chemin de la Côte-Sainte-Catherine, Montreal, Quebec, Canada, H3T 2A7 Thomas-Olivier Leautier, University of Toulouse, Graduate School of Business, Toulouse , France Geneviève Gauthier, HEC Montréal, Méthodes quantitatives de gestion et GERAD, 3000 Côte-Sainte-Catherine, Montréal, Québec, Canada, H3T 2A7 We propose a dynamic risk management model which enables the formal definition of a firm’s risk appetite and the derivation of its optimal risk management strategy. We examine the impact that a multi-period setting has on a firm's decisions in terms of its capital structure and risk management strategy. |
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02h20 PM- 02h45 PM |
Managerial Incentives and the Risk-Taking Behavior of Hedge Fund Managers |
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Serge Patrick Amvella Motaze, HEC Montréal, Finance, 3000, Chemin de la Côte-Sainte-Catherine, Montréal, Québec, CANADA, H3T 2A7 We use a multi-period binomial model to assess the impact that endogenous changes in the volatility of the fund have on manager fees and on investor wealth. Our results suggest that hedge fund managers will not increase the volatility in order to maximize the value of their option-like compensation contract. |