Speaker：Guojing Wang (Suzhou University)

Time：2021-04-23 14:00

Location： Tencent Meeting ID：593 841 017（No Passward）

Abstract:

In this talk, we present some portfolio credit derivatives that can be priced under reduced form credit risk model. As an example, we will show how to price the kth basket CDS spreads under a reduced form credit risk model in which the default dependence is described by the common shock and regime switching. Explicit expression for the pricing formula is obtained.