Add to Outlook calendar Add to Google calendar
Title: Pricing Credit Derivatives in a Markov Modulated Market.
Speaker: Srikanth Iyer (IISc)
Date: 10 September 2012
Time: 2:00pm
Venue: LH-II, Department of Mathematics, IISc

Credit risk refers to the potential losses that can arise due to the changes in the credit quality of financial instruments. There are two approaches to pricing credit derivatives, namely the structural and the reduced form or intensity based models. In the structural approach explicit assumptions are made about the dynamics of a firm’s assets, its capital structure, debt and share holders. A firm defaults when its asset value reaches a certain lower threshold, defined endogenously within the model. In the intensity based approach the firm’s asset values and its capital structure are not modelled at all. Instead the dynamics of default are exogenously given through a default rate or intensity.

Contact: +91 (80) 2293 2711, +91 (80) 2293 2265 ;     E-mail: chair.math[at]iisc[dot]ac[dot]in
Last updated: 29 Nov 2023