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Seminar
Department of Systems Engineering and Engineering Management
The Chinese
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Title |
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Portfolio Credit Modelling
by Particle Systems and SPDEs |
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Speaker |
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Dr. Lei Jin |
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University of Oxford, UK |
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Date |
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January 10th, 2012 (Tuesday) |
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Time |
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2:30p.m.-3:30p.m. |
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Venue |
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Room 513 |
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William M.W. Mong Engineering
Building |
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(Engineering Building Complex Phase 2) |
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CUHK |
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Abstract:
We consider a dynamic credit model within the structural
model framework for a large portfolio of credit risky assets. We model the
asset values as a particle system with an absorbing boundary, where the
correlation is due to a market factor. By considering the |
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Biography:
Dr. Lei Jin received her Ph.D. in Mathematical
Finance and Stochastic Analysis from the |
************************* ALL ARE WELCOME ************************
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Host |
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Prof. Duan Li |
Tel |
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(852)
3943-8316/8323 |
Email |
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Enquiries |
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Prof. Nan Chen or Prof. Sean X. Zhou |
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Department of Systems Engineering and Engineering
Management |
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CUHK |
Website |
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Email |
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