kaiyun体育登录网页入口数量经济与数理金融教育部重点实验室学术报告——On a structural form credit risk model with regime switching
主 题: kaiyun体育登录网页入口数量经济与数理金融教育部重点实验室学术报告——On a structural form credit risk model with regime switching
报告人: Guojing Wang, Center for Financial Engineering (Soochow University)
时 间: 2017-12-07 14:00-15:00
地 点: Room 1560, Sciences Building No. 1
Abstract: Consider a defaultable firm which issues corporate bond to raise capital. The firm’s credit quality is assumed to be affected by the cycle of macroeconomy. The investors of the bond could buy credit default swap (CDS) against the risk of default on the financial market. We propose a new structural form credit risk model being used for pricing the bond and the CDS. In the proposed model, the market value of the firm is assumed to follow a geometric jump diffusion process with macroeconomic factor. We investigate the influence of the macroeconomy on the probability of default, the price of the bond, and the CDS. Closed form results used to derive the numerical solutions for them are obtained when the common distribution of jumps is double exponential distribution. The numerical results exhibit some behaviors for the probability of default, the price of the bond, the bond yield spread and the CDS, respectively.
报告人介绍: 王过京：苏州大学金融工程研究中心教授，博士生导师。1996年至2007年，主要研究方向为风险理论（保险数学），在保险数学领域学术期刊《Insurance: Mathematics and Economics》和概率论领域学术期刊《Stochastic Process and Their Applications》上先后发表了13篇论文。从2008年开始，主要研究方向为信用风险理论和信用衍生品定价，目前在《Insurance: Mathematics and Economics》, 《Journal of Applied Probability》和《Economic Modeling》等期刊上已发表了14篇信用风险理论方面的学术论文。先后主持国家自然科学基金3项，江苏省自然科学基金2项和教育部博士点基金1项。
