Sehr geehrte Damen und Herren,
Ich moechte Sie auf die folgende Veranstaltung an der
Technischen Universitaet hinweisen, die vor allem mathematisch
ausgerichtete Interessenten anspricht:
Adaptive Friday
06. 11. 1998
TU Wien, Freihaus
Wiedner Hauptstr. 8-10
1040 Wien
SFB-Seminar
(im Zeichensaal 3, Institut fuer Geometrie 7. Stock, gruener Bereich)
15:00 - 16:00 Prof. Mark Davis
Tokyo-Mitsubishi Bank, London
Credit Spreads, Derivative Pricing and Default Risk
Abstract:
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.
16:00 - 16:30 Kaffeepause
16:30 - 17:30 Prof. Hans Foellmer
Humboldt-Universitaet Berlin
Efficient Hedging: Cost versus Shortfall Risk
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.
Mit besten Gruessen,
Markus Fulmek
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Wissenschaftlicher Verein Modernes Risk Management
WWW:
http://keen.esi.ac.at/~amrm/
Institut fuer Mathematik Universitaet Wien
Strudlhofgasse 4 A-1090 Wien
Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at
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