NO FREE LUNCH
SEMINAR
seminari
di finanza quantitativa
ore 13.00
Scuola Normale
Superiore
Pisa
(Aula Bianchi)
Andrea
PALLAVICINI
Mediobanca,
Milano
Terrà un
seminario dal titolo:
“Surviving
the Credit Crunch: new features for post-crisis pricing
models”
Abstract
Starting
from the beginning of the credit crunch many pricing models fail to incorporate
market movements since they are designed to discard features now crucial in such
turmoil situation. In particular, credit risk cannot be neglected any longer
while modelling other asset classes: single counterparties can default, and
extreme events may happen too, such as the default of sectors of the economy, or
even the break-down of the whole system. A new generation of pricing models able
to naturally include counterparty and systemic risk along with more exotic
features, such as funding and liquidity effects, is still under construction,
but it is now possible to discern the first steps. In this presentation we focus
on credit and the interest-rate asset classes. In particular, we describe some
old approaches which survived the crisis (loss models with default clustering or
self-excitement), and some new proposals driven by recent market trends or by
modifications in regulation framework (CVA evaluation framework, credit
contagion models, multiple yield-curve models).
Tutti gli
interessati sono invitati a partecipare.
Classe
di Scienze