NO FREE LUNCH SEMINAR
seminari
di finanza
quantitativa
mercoledì
23
novembre 2011
ore
13.00
Scuola Normale
Superiore
Pisa
(Aula
Bianchi)
Umberto
CHERUBINI
Università
di Bologna
Terrà
un seminario dal
titolo:
“CDS
and
the City”
Abstract
We discuss the
peculiarity of the
CDS
tool in
the realm of credit derivatives. We show
how to
use
such
products for
the hedging
of credit
risk
and for
synthetic
creation of
it.
We show
how
to use
CDS quotes
to bootstrap the
term
structure of the implied
probability of
default
of an
obligor. We finally
discuss
the relevance of the
market
in which
CDS are
traded, which
is Over-The-Counter. As
an illustration we provide
a case
of CDS
used
in the
funding
of a
municipal
entity.
Tutti
gli interessati
sono invitati a
partecipare.
Classe
di Scienze