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SUMMARY:Affine Modelling of Credit Risk\, Credit Event and Contagion
DTSTART:20161108T120000
DTEND:20161108T130000
DTSTAMP:20260916T014015Z
UID:56b9ef2a7bfbfc401deee7b1ca4bdb410c3ce62f1b19ca7e3ca2b1c1
CATEGORIES:Conferences - Seminars
DESCRIPTION:Fulvio PEGORARO (Banque de France)\nThis paper proposes a gene
 ral positive affine credit-risk pricing model for defaultable securities i
 n a discrete-time framework. Building on the recently introduced non-negat
 ive Gamma-zero distribution entailing a point mass at zero\, our model joi
 ntly allows for (i) the presence of systemic entities by breaking down the
  no-jump condition on the factors' conditional distribution\, (ii) contagi
 on effects between defaultable entities\, (iii) the pricing of credit even
 ts and (iv) the presence of stochastic recovery rates. The main advantage 
 of our framework is its ability to relax simultaneously several restrictiv
 e assumptions made in the existing models while staying in the  affine cl
 ass\, thus delivering explicit pricing formulas for default-sensitive secu
 rities like bonds and credit default swaps. A first application shows how 
 this framework can be exploited to estimate sovereign credit risk premiums
  in a parsimonious endowment-economy model. In a second application\, we j
 ointly model term structures of CDS denominated in different currencies an
 d extract market-implied probabilities of depreciations at default. A thir
 d application illustrates the ability of the model to replicate the behavi
 or of banks’ CDS spreads that was observed in the aftermaths of the Lehm
 an Brothers' bankruptcy.
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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