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Pricing and Hedging of Credit Derivatives in Models with Interacting Default Intensities
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When
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17.00
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Where
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B617 (Leverhulme Library)
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Presentations
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Speaker
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Ruediger Frey
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From
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Leipzig
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Abstract
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We discuss reduced-form models for portfolio credit risk which allow for default contagion. Particular emphasis is put on a model where default intensities are modelled as functions of time and of the default state of the entire portfolio, so that phenomena such as default contagion or counterparty risk can be modelled explicitly. We show how Markov process techniques can be employed in the analysis of the model. We study in detail the pricing and the hedging of portfolio-related credit derivatives such as basket default swaps and collaterized debt obligations (CDOs) and discuss the calibration to market data.
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For further information
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Tom Hewlett (Postgraduate Administrator) Ext. 6879
Department of Statistics, Columbia House
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