【汉青论坛】第十八期： 李海涛 美国密歇根大学金融学讲席教授-经管之家官网！

【汉青论坛】第十八期：Economic Catastrophe Bonds: Inefficient Market or Inadequate Model?
【本期主题】Economic Catastrophe Bonds: Inefficient Market or Inadequate Model?
In an influential paper, Coval, Jurek and Stafford (2009, CJS hereafter) argue that senior CDX tranches resemble economic catastrophe bonds---"bonds that default only under severe economic conditions." Using a Merton structural model within a CAPM framework, CJS argue that senior CDX tranches are overpriced relative to S&P 500index options and therefore do not sufficiently compensate investors for their inherent economic catastrophe risks. In this paper, we argue that the conclusion of CJS that senior CDX tranches are overpriced is premature. We provide compelling evidence that the CJS model is not flexible enough to capture CDX tranches prices. On the other hand, we develop a simple model that can simultaneously price CDX tranches and index options. Our results show that the CDX tranches market is actually efficient.
【报告人】李海涛 密歇根大学金融学讲席教授
【时　间】9月28日中午12:00
【地　点】明德主楼714室
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报告人简介：
　　李海涛教授是密歇根大学Stephen M. Ross School of Business ,Jack D.Sparks Whirlpool Corporation 金融学讲席教授，曾在康奈尔大学约翰逊管理学院任教。李海涛博士是耶鲁大学金融学博士,主要研究领域为理论与资产定价，信用风险，期权定价，金融经济学，对冲基金，在Journal of Finance , Journal of Econometrics, Journal of Banking and Finance等国际顶级期刊上发表多篇文章。
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