Designing Catastrophic Earthquake Bond and Predicting its Credit Spread

Register @ http://bit.ly/1N0Wa24

Tuesday, March 3, 2015
6:30 PM to 9:00 PM

Bloomberg Beta
Pier 3, Suite 101, San Francisco, CA, San Francisco, CA

Main Talk:  Using Python to design a parametric catastrophic (CAT) earthquake bond and predict its credit spread

This presentation is simplified analytical approach developed by the author to illustrate key elements in the design of a parametric catastrophic bond, a type of Insurance Linked Security (ILS). The model was developed in order to 1) help potential clients of a top tier Wall Street bank understand advantages and disadvantages of insurance linked securities vs. traditional insurance, 2) Help sovereign government's decision makers draft policies to accommodate the product in their risk management efforts, 3) expand institutional client base of the bank by sharing analytical work with Rating Agencies and CDO managers in a reproducible way, 4) help win structuring mandates. 

The original model was developed using a combination of C/C++, Visual Basic, ActiveX, and an Excel front end. The presentation will show a modern approach that uses: 

IPython Notebook to collect and explore a dataset that includes 100 years of earthquake data from the USGS, around the geographical location covered by the bond. 
Pandas for time series analysis of earthquake historical data. 
Monte Carlo simulation to generate simulated earthquakes and calculate exceedance loss probabilities on life on bond. 
Scikit learn, and/or curve fitting techniques to select best parameters to fit target credit rating and predict the bond's coupon rate. 

Main Speaker: Luis Miguel Sanchez

Luis is founder, CEO and Chief Data Scientist of ttwick, a NYC based startup building semantic search technologies and analytics. Luis has over 20 years of experience in capital markets, insurance, consulting, and engineering, with emphasis on quantitative analysis. Luis has held multiple senior executive positions and quantitative analyst roles for Barclays Capital, Lehman Brothers, Deutsche Bank, AIG, and a couple of hedge funds in New York and London, where he used many ML models to structure and launch over 10bn USD worth of deals, mostly with exposure to exotic assets. Luis obtained his MBA on a Fulbright LASPAU scholarship, and a BSc in Civil Engineering with double concentration in Hydraulics and Structural Analysis. 

Tentative Schedule:

6:30pm-7:00pm -- socializing

7:00pm-7:15pm -- lightning talk

7:20pm - 8:20pm -- main talk

8:20pm - 9:00pm -- socializing