Fitch Acad. Advisory Board: Effects of Diminishing Liquidity, CDO Evaluation & Basel II Guidelines
The Fitch Academic Advisory Board (FAAB) concluded its inaugural meeting as senior executives and analysts from Fitch Group met with leading academics, bridging relevant academic research with case studies in evaluating risk in the financial markets.
One of the primary topics discussed at the meeting was efficacy of portfolio risk models in the presence of a potential liquidity shock in the economy.
A related theme was the role of expected loss mapping for collateralized debt obligation (CDO) pricing: the board members discussed the benefits and shortcomings of this methodology and proposed some enhancements.
A third theme was how Basel II guidelines have been affecting (and will affect) investment flows and creation of new and innovative financial engineering techniques and instruments.
The FAAB was formed in April of 2006 by Fitch Group, the parent organization of Fitch Ratings and Algorithmics, to promote professional interaction between prominent academics, researchers and Fitch Group. To allow a wide scope of coverage, the Board includes a select group of prominent and diverse group of academics and researchers worldwide.
"Bringing together this group of high caliber experts provides the opportunity to examine a broad range of topics relevant to evaluating risks in the financial markets," said Robert Grossman, Chief Credit Officer, Fitch Ratings. "This outside perspective enhances Fitch Group's approach and methodologies."
The members of the board are:
-- Robert Grossman, Fitch Ratings
-- Ahmet E. Kocagil, Fitch-QFR
-- Michael Zerbs, Algorithmics
-- Dennis Capozza, University of Michigan
-- Eric Chang, University of Hong Kong
-- Didier Cossin, International Institute for Management Development
-- Paul Embrechts, ETH Zurich
-- Ruediger Frey, University of Leipzig
-- Dwight Jaffee, University of California, Berkley
-- Salih Neftci, ICMA Centre of The University of Reading
-- Dan Rosen, The Fields Institute of the University of Toronto
-- Andrea Sironi, Bocconi University
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