Financial and Actuarial Mathematics, TU Wien, Austria TU Wien FAM

Einladung zur Vortragsreihe aus Finanz- und Versicherungsmathematik

Prof. Mark Davis

Department of Mathematics, Imperial College London

Dynamic models for portfolio credit risk

Copula methods for representing the joint risk in credit portfolios are falling out of favour among practitioners because of their inflexibility and lack of dynamic consistency. This talk will survey some classes of truly dynamic models which may do better. These are generally 'top-down' models in which one starts with a representation of the portfolio loss process and infers the performance of individual obligors by some kind of thinning procedure. Key questions are the calibration of such models, in the case of the standardized iTraxx and CDX portfolios, to market quotes for CDS rates and tranche spreads, and what to do about 'bespoke' portfolios where there is no systematic data on tranche spreads.

Zur Person: Mark Davis is Professor of Mathematics at Imperial College London, specializing in stochastic analysis and financial mathematics, in particular in credit risk models, pricing in incomplete markets and stochastic volatility. From 1995-1999 he was Head of Research and Product Development at Tokyo-Mitsubishi International, leading a front-office group providing pricing models and risk analysis for fixed-income, equity and credit-related products. Dr Davis holds a PhD from the University of California Berkeley and is the author of three books on stochastic analysis and optimisation. He was a founding co-editor of the journal Mathematical Finance (1990-93) and is currently an associate editor of Quantitative Finance. He was awarded the Naylor Prize in Applied Mathematics by the London Mathematical Society in 2002.

Termin: Dienstag, 28. November 2006, 16:30 Uhr s.t.
Ort: Technische Universität Wien
1040 Wien, Wiedner Hauptstraße 8-10
Freihaus, Turm B (gelber Bereich), 2. Stock,
Freihaus Hörsaal FH 2

Mag. Dr. Klaus Wegenkittl
Präsident der Aktuarvereinigung Österreichs
Präsident des Österreichischen Förderungsvereins der Versicherungsmathematik

Dkfm. Dr. Siegfried Sellitsch
Präsident der Österreichische Gesellschaft für Versicherungsfachwissen

o.Univ.-Prof. Dr. Walter Schachermayer
Univ.-Prof. Dr. Uwe Schmock
Finanz- und Versicherungsmathematik (FAM), Technische Universität Wien