April 19, 2016
Recording- Specialized Stress-Testing for Securitized Products
Time: 9:00am EDT
Will Gajate- Director of Research, Multi-Asset Class Risk Management -- Axioma
David Kurnov- Senior Director, Financial Engineering -- Moody's Analytics
The subprime debacle of 2007 revealed gaps in stress testing downside scenarios for securitized products. Progress has been made, but how confident are you in the cash flow projections for these securities in your portfolio?
We will discuss how you can:
- Model and understand the impact on the collateral underlying your ABS holdings;
- Estimate the effects on the pricing and sensitivities of tranches in your portfolio;
- Stress test against changes in macroeconomic factors and perform tests targeted to specific risk-factors in the underlying instruments; and
- Map out the valuation cliff and compute expected losses.
Will Gajate: In his role as Director of Research, Multi-Asset Class Risk Management at Axioma, Will Gajate is focused on quantitative analytics solutions for Securitized Products. Before Axioma, he developed pricing and risk platforms for companies such as MSCI RiskMetrics Group and JP Morgan. He has a Masters in Computational Finance from Carnegie Mellon.
David Kurnov: David manages global operations for the Structured Finance Valuations & Advisory group at Moody’s Analytics. His team develops and implements analytical models for valuing and stress testing securities across structured asset classes and provides advisory support for risk analysis and regulatory submission. Prior to his current role, David supported Moody’s Investors Service rating analysts using in-house software to rate and monitor CDO transactions. David holds a B.S. in Economics from Wharton and a B.S.E. in Computer Science from the University of Pennsylvania.