SEMINÁRIO ISEG 2S | Structural Credit Risk Models under Incomplete Information and the Pricing of Contingent Convertibles

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Speaker
Rudiger Frey – Vienna University 

Presentation
Structural Credit Risk Models under Incomplete Information and the Pricing of Contingent Convertibles

Abstract

The talk is concerned with structural credit risk models with incomplete information of the asset value in the spirit of Duffie Lando (2001). It is shown that the pricing of typical corporate securities such as equity, corporate bonds or CDSs leads to a nonlinear filtering problem. We briefly explain how to solve this problem. 

This permits to   characterize the default intensity under incomplete information and to give an explicit description of the dynamics of corporate security prices. Finally, we explain how the model can be applied to the pricing of bond and equity options, we present results from a number of numerical experiments and we discuss the pricing of contingent convertibles.

Organizing Team
This seminars series is organized by Joana Pais (ECO), Raquel M. Gaspar (FIN/MG) and Isabel Proença (QM).

Meeting the Speaker
All speakers are available to meet faculty at ISEG before the talk. Slots are limited. To book your time with the speaker, contact one of the coordination team members.

Mailing list
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Parking
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