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