PSU Mark
Eberly College of Science Mathematics Department

Meeting Details

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
Seminar:Probability and Financial Mathematics Seminar
Speaker:Nick Costanzino, ScotiaBank
Abstract:
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
Date:03 / 25 / 2013
Time:03:30pm - 05:00pm