Dear all, Friday May 29 2015, 9:30 - 11:00 AM and 11:30 AM - 1:00 PM in Aula Fermi, Scuola Normale Superiore Pisa
Andrea Pallavicini Banca IMI, Milano and Imperial College, London
will deliver the seminar
"Credit Risk Modelling Before and After the Crisis"
Abstract: The financial crisis started in 2007 has shown that any pricing framework must include from the very beginning the possibility of default of any market player. As a consequence derivative valuation and risk analysis have moved from exotic derivatives managed on simple single-asset classes to simple derivatives embedding credit risk and new, or previously neglected, types of complex and interconnected non-linear effects. Derivative valuation is adjusted to include counterparty credit risk and contagion effects along with funding costs due to collateral posting, treasury policies, and regulatory constraints. A second level of complexity is produced by moving from a single trade to the whole bank portfolio. Aggregation-dependent valuation processes, and theirs operational challenges, arising from non-linearities are discussed both from a mathematical and practical point of view.
All interested people are kindly invited. Best, Giacomo