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                                                     Seminar

             Department of Systems Engineering and Engineering Management
                                  The Chinese University of Hong Kong

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Title	:	Pricing and Trading Credit Default Swaps
Speaker	:	Prof. Marek Rutkowski
		School of Mathematics and Statistics
		University of New South Wales
Date	:	January 21th, 2008 (Monday)
Time	:	4:30 p.m. - 5:30 p.m.
Venue	:	Room 513
		William M.W. Mong Engineering Building
		(Engineering Building Complex Phase 2)
		CUHK

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Abstract:
　

The topic of this research is a detailed study of stylized credit
default swaps within the framework
of a generic reduced-form credit risk model. By a reduced-form model
we mean any model of a single default or several dependent defaults in
which we can explicitly identify the distribution of default times.
Therefore, the set-up presented in this work covers in fact various
alternative approaches, which are usually classified as, for instance,
value-of-the-firm approach, intensity-based approach, copula-based
approach, etc. Note that this usual classification refers to a
specific way in which default times are constructed, rather than to
the question whether the distribution (conditional distribution, joint
distribution, etc.) of default times can be found explicitly.

The main goal is to develop general results dealing with the relative
valuation of defaultable claims (credit derivatives) with respect to
market values of traded credit-risk sensitive securities. As expected,
we have chosen stylized credit default swaps (CDSs) as liquidly traded
assets, so that other credit derivatives are valued with respect to
CDS spreads as a benchmark. We show that a generic defaultable claim
(or a generic basket claim, in the case of several underlying credit
names) can be replicated by a dynamical trading in single-name CDSs.
The most important case is hedging of first-to-default contracts using
the underlying single-name CDSs. We examine this issue under the
assumptions of deterministic and stochastic default intensities.

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Biography:
　

Prof. Marek Rutkowski received the M.Sc. degree(Probability Theory) in
1976, the Ph.D. degree(Theory of Stochastic Processes) in in 1980 and
the D.Sc. degree(Financial Mathematics) in 1998, all from Department
of Mathematics, Warsaw University of Technology, Warszawa, Poland.

Currently he is an Associate Professor at School of Mathematics,
University of New South Wales, Sydney, Australia and an Associate
Professor at Faculty of Mathematics and Information Science, Warsaw
University of Technology, Warszawa, Poland. He is an editor for
Finance and Stochastic, Mathematical Finance and International Journal
of Theoretical and Applied Finance.

His current research interests include valuation and hedging of
derivative securities, term structure of interest rates modeling,
credit risk modeling and valuation and hedging of defaultable
securities. Recently, his research focused on the study of convertible
securities with credit risk (e.g., convertible corporate bonds) and
multi-asset credit derivatives (e.g., CDS indexes and related options).

************************* ALL ARE WELCOME ************************

Host	:	Prof. Chen Nan
Tel	:	(852) 2609-8237
Email	:	nchen@se.cuhk.edu.hk
Enquiries	:	Prof. Nan Chen or Prof. Sean X. Zhou
	:	Department of Systems Engineering and Engineering Management
		CUHK
Website	:	http://www.se.cuhk.edu.hk/~seg5810
Email	:	seg5810@se.cuhk.edu.hk

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