Date/TimeDate(s) - 02/10/09
1:30pm - 3:00pm
Level 43 / 80 Collins Street
Topic: Canary in the Coal Mine – How nonlinear dynamics based risk evaluation proved itself in the US Mortgage Crisis and is now being adopted by RMBS investors – implications for Australia
Speaker: Dr Joe Breeden, Founder and Chief Scientist of Strategic Analytics (US)
The Melbourne Centre for Financial Studies has invited Strategic Analytics’ Founder and Chief Scientist, Dr Joe Breeden, to present an in-depth look at the use of non linear analytic techniques to provide robust CDR and CPR forecasts for RMBS issues.
Dr Breeden will discuss the methodologies employed and share case study data from Strategic Analytics database of US RMBS issues. Dr Breeden will highlight the impact of a non parametric, non linear approach both at a theoretical and practical level and highlight the data requirements of this approach and why, the data accompanying RMBS issues is sufficient to adopt this approach.
Sponsored by Janus Capital Asia Ltd