Lectures

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2010/12/16

14:40-16:10   Room #123 (Graduate School of Math. Sci. Bldg.)
Sebastien Hitier (BNP Paribas, Head of Quantitative Research, Credit Asia)
Credit Derivatives Modelling and the concept of Background Intensity II (ENGLISH)
[ Abstract ]
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