Il giorno Giovedì 2 Luglio 2015, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna
Flavia BARSOTTI Risk Methodologies, Group Financial Risk, Group Risk Management, UniCredit S.p.A.
terrà un seminario dal titolo
"Credit risk evaluation: performance and determinants of structural modeling approach"
Abstract Structural credit risk models are known to be the natural mathematical framework providing a theoretical link between a firm’s default probability and the underlying firm’s specific structural variables. In this spirit, this talk discusses the ability of structural credit risk modeling in measuring the sensitivity of corporate bond returns to changes in equity value, representing a key element for hedging purposes in risk management activity. The analysis is conducted by considering as starting point the classical Merton model. Extensions of this setting are proposed by relaxing the assumption of Lognormal distribution for the underlying assets value dynamics. The talk discusses the performance of structural models across different rating classes and analyzes which are the key determinants (both credit and non-credit related variables) affecting the performance.
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