Pricing MBS under reduced form credit risk model with regime switching

Chief: 王过京教授,苏州大学
Time: 2019-12-26 14:00-15:00
Venue: 北京大学理科1号楼1479 
摘要:Due to the involvement of default and prepayment, which causing different future cash flow, it is a difficult work to determine the default loss and the fair premium for the MBS in a CDO. In this talk,we introduce a homogeneous portfolio reduced form model with regime switching. Based on Markov property and using the uniformization method for Markov chain, we present some explicit formulas for the default loss and the fair premium from the perspective of different investors in a CDO. (This talk is based on a joint work with professor S.N.Chiu and Miss G. Wang from Hong Kong Baptist University)
报告人介绍: 王过京教授目前在苏州大学金融工程研究中心工作,为本科生和研究生讲授《测度论》、《随机过程》、《随机分析》、《随机积分与微分方程》、《Levy过程》、《风险理论》、《金融衍生产品定价》、《组合信用风险理论与应用》和《资产定价与风险管理》等课程。王过京教授主要研究方向为保险数学和信用风险理论,多年来一直在金融风险理论与应用方面开展研究工作,目前在相关专业领域已发表学术论文40余篇。