Title: Interest Rate and Corporate Bond Models from a Practitioner’s Perspective

Abstract: The literature on interest rate and credit risk models is vast, spanning 40 years of very active research. During this same period of time we have seen tremendous market turmoil and a wide range of market conditions. We will explore some of the stylised facts of interest rates and corporate bond markets and look at some of the models that are used by the insurance industry for risk management and asset allocation. The talk concludes with a short discussion of the challenges the financial crisis and its aftermath poses for these models and some thoughts on the classes of models that seem to hold promise for future research and development for industry use.

Hal Pedersen is Managing Director, Risk Solutions, at Conning in Hartford, CT. Previously, he was the Warren Professor of Actuarial Science at U of Manitoba.