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                                                     Seminar

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

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Title

:

Contagion models with interacting hazard rate processes

　

　

　

Speaker

:

Prof. Yue-Kuen Kwok

　

　

Department of Mathsmatics

　

　

HKUST

　

　

　

Date

:

March 12th, 2008 (Wednesday)

　

　

　

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:
　

Credit risk is quantified by the loss distribution due to unexpected
changes in the credit quality of the counterparty in a financial
contract. Default correlation risk refers to the risk that a bundle of
risky obligors may default together. To understand the clustering
phenomena in correlated defaults, we consider credit contagion models
which describe the propagation of financial distress from one risky
obligor to another. In particular, we present the contagion model of
portfolio credit risk of multiple obligors with interacting hazard rate
processes. As an application, we consider how correlated default risks
between the protection seller and the underlying entity may affect the
credit default premium in a credit default swap.

This is a joint work with Kwai Sun Leung, Risk Management Institute,
National University of Singapore


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Biography:
　

Prof. Yue-Kuen Kwok graduated from the Department of Mechanical Engineering
at Hong Kong University in 1980, and he got his Master and Ph.D. degree in
Applied Mathematics from Brown University in 1983 and 1985. He is the
Professor & Program Director of MSc in Mathematics (Financial Mathematics
and Statistics) at Hong Kong University of Science and Technology. His
research interests is Financial mathematics, Derivatives pricing theory and
Credit risk theory. He is the author of over 80 research papers and several
books, including \"Mathematical Models of Financial Derivatives\", Springer,
1998 and \"Applied Complex Variables for Scientists and Engineers\", Cambridge
University Press, 2002. He is an associate editor of Journal of Economic
Dynamics and Control and Asia-Pacific Financial Markets.


************************* 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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