Abstract:
Mr. Zamora will provide an introduction to "Bond Basics", including an outline of the elements of risk associated with these instruments. The outline will briefly describe agency credit ratings and associated transition matrices, the location of bonds within corporate capital structure, and important concepts like duration and convexity.
He will then introduce the modeling options available to evaluate the default and credit risk of a portfolio of corporate bonds and speak to some widely accepted methods in the industry. In the discussion of modeling approaches Mr. Zamora will discuss some practical considerations in the evaluation of default probabilities, modeling of losses given default, and the important issue of default correlation. He will also explore transition risk and its impact on portfolio valuation and the pro-cyclical nature of defaults as they relate to the construction of analytic scenarios.
Speaker Biography:
Nelson A. Zamora, CFA has been with PPM America since 2003, and is currently Senior Managing Director and Head of Quantitative Research & Risk Management. Nelson has over 25 years' experience in the asset management industry, with asset class knowledge in fixed income and equities. Prior to joining PPM America, Mr. Zamora was with Merrill Lynch Investment Managers for over 15 years and held the position of Managing Director, Head of Fixed Income Applied Research. In this position he had oversight of over $120 billion in fixed income assets. Nelson earned his Masters in Financial Mathematics from the University of Chicago, and received his B.S.C from Rider University with a double major in Decision Sciences and Finance. Nelson has the earned the designation of Charted Financial Analyst (CFA).
Lunch is $30 for CCASA members, $35 for non-members. Non-members, join the chapter for a year for only $15 and get the discount plus all of the other benefits of membership! As usual, the Lucile Derrick Fund will purchase a limited number of tickets for students who wish to attend. If you are a student and would like to take advantage of this offer, please register online below, and contact Mark Richards, expressing your interest 630-415-9547 or mrichards@iso.com
Reduced fee parking available at EBC with validation.