Pricing basket credit default swap under contagion model with regime switching

：王过京（苏州大学）
：2023-06-23 14:30
：海韵园实验楼105报告厅

报告人：王过京（苏州大学）

时  间：2023年6月23日下午14:30

地  点：海韵园实验楼105报告厅

内容摘要:

The contagion credit risk model is used to describe the contagion effect among different financial institutions. Under such a model, the default intensities are driven not only by the common risk factors, but also by the defaults of other considered firms. In this paper, we introduce a default contagion model in which the default process is described by a Cox process with regime switching, and the default intensity process will increase with a positive jump once a considered firm defaults. We derive some closed form expressions for the distribution of default times and for the pricing formulas of the basket credit default swaps.

个人简介：

王过京，苏州大学金融工程研究中心教授，博士生导师。承担《随机过程》，《随机分析》，《随机积分与微分方程》，《Levy过程》，《衍生产品定价》，《资产定价与风险管理》等课程的教学工作。主要研究方向为应用随机过程，保险数学和信用风险理论。在保险精算学术期刊《Insurance: Mathematics and Economics》和概率论学术期刊《Stochastic Process and Their Applications》上已发表12篇学术论文。从2008年开始，在《Insurance: Mathematics and Economics》，《Journal of Applied Probabilty》和《Economic Modelling》等期刊上发表了20多篇信用风险理论方面的学术论文。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。

 

联系人：王文元