講演会

過去の記録 ~02/04次回の予定今後の予定 02/05~


2010年12月16日(木)

14:40-16:10   数理科学研究科棟(駒場) 123号室
Sebastien Hitier 氏 (BNP Paribas, Head of Quantitative Research, Credit Asia)
Credit Derivatives Modelling and the concept of Background Intensity II (ENGLISH)
[ 講演概要 ]
Session 1: Introducing background intensity models
- Motivation for the concept of background intensity
- The default realisation marker
- Definition of background filtration and background intensity
- Reformulating the H hypothesis, and Kusuoka’s “remark”
- Generalised HJM formula and Credit Risk neutral dynamics

Session 2: Five useful properties of background intensity models
- Generalised HJM formula for credit
- Definition of conditionally independent defaults
- Diversification effects: results on forward loss distribution
- Stronger conditional independence effect for spot loss
- Existence of a canonical copula
- Properties of the portfolio loss copula