Event Date:
Monday, November 20, 2006 - 3:15pm
Event Date Details:
Refreshments served at 3:00 PM
Event Location:
- South Hall 5607F
Knut Solna (UC Irvine, Math)
"Multiname and Multiscale Default Modeling"
We consider multiname default modeling using a reduced form modeling approach. The model is based on a multiscale Vasicek or Ornstein-Uhlenbeck model for the hazard rates of the underlying names. Such default modeling is important in the context of pricing for instance Collaterized Debt Obligations (CDOs) and we analyze the impact of volatility time scales on the default distribution and CDO prices.
April 20, 2017 - 3:16pm