Credit Risk Modeling - A Brief Walkthrough
Joint Seminar Series on Stochastic Processes and Financial Mathematics
by Chit Wai Wong
Abstract: The modeling of Credit Risk may be divided into two broad classes,
structural models and reduced-form models. At the present time, reduced
form models used for pricing are incomplete because the derivatives in
question pay contingent claims upon the default of some party and it is
impossible to perfectly hedge default risk by trading in primary assets.
These models have multiple risk-neutral measures, all of which can be
consistent with market prices of the primary assets but give different
prices for derivatives. In this talk I will briefly introduce the reduced
form approach and survey some of the recent developments in modeling
dependent defaults in large static credit derivative portfolios.
For More Information: Aihua Xia tel. 03 8344 4247 email: firstname.lastname@example.org