Einladung zum
Adaptive Friday 06. 11. 1998 TU Wien, Freihaus Wiedner Hauptstr. 8-10 1040 Wien
Programm:
SFB-Seminar (im Zeichensaal 3, Institut f=FCr Geometrie 7. Stock, gruener Bereich)
15:00 - 16:00 Prof. Mark Davis Tokyo-Mitsubishi Bank, London
Credit Spreads, Derivative Pricing and Default Risk =20 Abstract: =20
This talk will describe how 'implied default probabilities' are obtained from market credit spreads, and how these can be used for pricing of credit derivatives and other transactions such as swaps between risky counterparties. Some of the problems surrounding the modelling of changes of rating category, and evaluating the potential exposure of default-related transactions, will also be discussed.=20
16:00 - 16:30 Kaffeepause
16:30 - 17:30 Prof. Hans Foellmer Humboldt-Universitaet Berlin
Efficient Hedging: Cost versus Shortfall Risk =20 Abstract:
An investor faced with a contingent claim may eliminate risk by (super-) hedging in a financial market. As this is often quite expensive, we study partial hedges which require less capital and reduce the risk. In a previous paper we determined qantile hedges which succeed with maximal probability, given a capital constraint. Here we look for strategies which minimize the shortfall risk defined as the expectation of the shortfall weighted by some loss function. The resulting efficient hedges allow the investor to interpolate in a systematic way between the extremes of no hedge and a perfect (super-) hedge, depending on the accepted level of shortfall risk.=20 =20 =20
************************************************************** * Special Research Programme * * "Adaptive Modelling and Information Systems * * in Economics and Management Science" * * *=20 * a joint endeavour of three universities: * * Vienna University of Economics & Business Administration *=20 * University of Vienna * * Vienna University of Technology * * sponsored by the Austrian Research Foundation * * (FWF: http://www.fwf.ac.at/) * * * * for more information consult: * * http://www.wu-wien.ac.at/am/am.html * ************************************************************** =========================================================================