Valuation of Basket Credit Derivatives in the Affine Markov Chain
主 题: Valuation of Basket Credit Derivatives in the Affine Markov Chain
报告人: Prof. Tom Hurd (加拿大McMaster University教授)
时 间: 2006-06-06 下午 3:00 - 4:00
地 点: 理科一号楼 1560
The Affine Markov Chain model and its precursor, the
Arvinitis-Laurent-Gregory 1999 model, extend the Jarrow-Lando-
Turnbull credit migration model by giving dynamics to credit spreads.
After a review of the general structure of these one-firm models, we
will turn to the issue of building in multifirm default correlations.
Of various possible approaches, we favour stochastic time change as
the driver of correlation for its computational efficiency. In the
resulting multifirm credit migration framework, a variety of
approximation methods can be invoked to enable the efficient and
accurate computation of prices and hedges for basket credit
derivatives as complex as collateralized debt obligations.
Joint work with Alexey Kuznetsov, McMaster University
