Tid: 19 november 2007 kl 15.15-17.00

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Alexander Herbertsson, Institutionen för nationalekonomi med statistik, Handelshögskolan vid Göteborgs universitet

Titel: Pricing portfolio credit derivatives using matrix-analytic methods

Sammanfattning: We discuss modelling and valuation of portfolio credit derivatives. A short summary of instruments such as credit default swaps, k-th-to default swaps, and synthetic CDO tranches, are given. Next, we introduce the underlying model used for pricing these derivatives. It is split in two different submodels, one for inhomogeneous portfolios, and one for homogeneous ones. The latter framework allows us to work with much bigger portfolios than the former. In both models the default dependence is introduced by letting individual default intensities jump when other defaults occur, but be constant between defaults. The models are translated into Markov jump processes which represent the default status in the credit portfolio. This makes it possible to use matrix-analytic methods to find convenient closed-form expressions for the portfolio credit derivatives that we want to study, as well as other quantities needed in dynamic credit portfolio management. The models are calibrated against market-data on credit derivatives. We then price exotic credit derivatives and study several implied portfolio quantities, such as multivariate default distributions.

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