For more information about this meeting, contact Anna Mazzucato, Victor Nistor, Manfred Denker.
| Title: | All you wanted to know credit risk but were afraid to ask |
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| Seminar: | Financial Mathematics Seminar |
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| Speaker: | Nick Costanzino, ScotiaBank |
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| Abstract: |
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| Credit risk manifests itself in different guises in almost all areas of Banking, including the CVA/DVA of a trade, the capital required for a loan portfolio, and the valuation of credit derivatives. In all these areas, a unifying quantity is the probability of default. Default probability is a notoriously difficult quantity to estimate given the frequency of realized defaults. In this talk I will give a brief overview of the most popular mathematical models and calibration tools for quantifying the probability of default, including structural models such a Merton and Black-Cox as well as reduced form models such as Jarrow-Turnbull. Finally, I will introduce a new model and some related recent results on incorporating stochastic recovery rates in computing joint probabilities (joint work with Albert Cohen at MSU). |
Room Reservation Information
| Room Number: | MB106 |
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| Date: | 03 / 25 / 2013 |
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| Time: | 03:30pm - 05:00pm |
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