International Association for Quantitative Finance (IAQF) Competition

By Siteng Jin | Nov 2013 - Dec 2013 (about 1 month)
1 Attachments
Project paper
It is a case analysis, team based competition on AIG bankruptcy and bailout during the 2007 financial crisis.
We analyzed problems that caused the collapse of AIG-FP in 2007, and proposed a method, referring to BS-Morton Model, of
calculating the required reserve AIG should have taken on the enormous CDS products they sold. We developed a quantitative method of hedging CDS in general by holding positions in S&P500 index ETF. At the begining of the competition, I was voted to be the keynote presenter and won an eligibility for the competition from the director of the MSFE program.


University of Illinois at Urbana-Champaign
My Roles
Buyer and sellers' reserves calculation