The paper, “An Improved Implied Copula Model and Its Application to the Valuation of Bespoke CDO Tranches,” is co-authored by Rotman Profs. John Hull and Alan White. The paper, which was one of two selected for a Special Distinction Award, presents an improved version for modeling prices of collateralized debt obligations (CDOs) and related derivatives and relates estimated parameters to macroeconomic variables.

The winning paper, “Warning: Physics Envy May Be Hazardous to Your Wealth!,” was co-authored by Profs. Andrew Lo and Mark Mueller of the Sloan School of Management at MIT.

Candidates for the annual award were selected from among papers published in the Journal Of Investment Management in 2010. The initial selection was done by the Associate Editors of the JOIM, with the final selection by a Special Panel of advisors who are part of the JOIM's Advisory Board. This Special Panel consisted of Nobel laureates Harry M. Markowitz, Robert C. Merton, Myron S. Scholes, and William F. Sharpe. Three papers were selected as finalists.

The Rotman School of Management at the University of Toronto is redesigning business education for the 21st century with a curriculum based on Integrative Thinking. Located in the world’s most diverse city, the Rotman School fosters a new way to think that enables the design of creative business solutions.  The School is currently raising $200 million to ensure Canada has the world-class business school it deserves. For more information, visit www.rotman.utoronto.ca.

-30-

For more information:

Ken McGuffin

Manager, Media Relations

Rotman School of Management

University of Toronto

Voice 416.946.3818

E-mail mcguffin@rotman.utoronto.ca

Follow Rotman on Twitter @rotmanschool

Ken McGuffin
Manager, Media Relations
Rotman School of Management
Voice: (416) 946-3818
E-mail: mcguffin@rotman.utoronto.ca