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Seminários e Conferências

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

09 Mai 14:00
Quelhas 6 | Piso 3 | Sala UNICRE

 


» Click here to visit the ISEG 2S webpage and view the complete programme for the Seminar Series.

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

To join the ISEG 2S Seminar Mailing List and receive regular information contact
Filomena Ferreira.


Parking

If you come to the seminars at ISEG by car, please contact
Filomena Ferreira to assure your entrance into the park.