Hull and White to collaborate with SunGard

Two of the leading academics in derivatives and risk management research, John Hull and Alan White, are working with the Reech unit of US-based vendor, SunGard, to develop a new structured credit pricing suite.

According to SunGard, the new suite will build on the so-called double-t copula pricing model for collateralized debt obligations (CDO). The model was developed by Hull and White, who are both professors at the University of Toronto’s Rotman School of Management.

The new suite will be integrated into SunGard's Reech Analytics Library and Reech FastVal - an application service provider (ASP) solution for independent derivative valuation.

Hull and White also helped broker GFI to launch its Fenics synthetic credit pricing platform (See: GFI brings in leading academics for Fenics Credit) in 2002.

Hull will be speaking on day two of the Risk USA conference in Boston, on June 8.

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Chartis RiskTech100® 2024

The latest iteration of the Chartis RiskTech100®, a comprehensive independent study of the world’s major players in risk and compliance technology, is acknowledged as the go-to for clear, accurate analysis of the risk technology marketplace. With its…

T+1: complacency before the storm?

This paper, created by WatersTechnology in association with Gresham Technologies, outlines what the move to T+1 (next-day settlement) of broker/dealer-executed trades in the US and Canadian markets means for buy-side and sell-side firms

Most read articles loading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here