Speaker：Guojing Wang (Soochow University)

Time：2023-6-23, 14:30

Location：Conference Room 105 at Experiment Building at Haiyun Campus

Abstract:

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.