報告題目：The valuation of some portfolio credit derivatives under reduced form models with dependent default risk
報 告 人：王過京 教授 蘇州大學金融工程研究中心
報告時間：2019年6月11日 10：00-11：00
報告地點：數學樓第二報告廳
報告摘要：
In this talk, we explain how the default intensity of a defaultable firm can be defined as the intensity of a point process. The default time of the firm can be thus defined as the first jump time of a point process. The default dependence is described by the dependence among the default intensity processes of the defaultable firms. As an example, we present a reduced form credit risk model in which the default dependence is described by the common shock and regime switching and correspondingly establish the pricing formula for the basket CDS spreads.
報告人簡介：
王過京，蘇州大學金融工程研究中心教授，博士生導師。承擔《随機過程》，《随機分析》，《随機積分與微分方程》，《Levy過程》，《衍生産品定價》，《資産定價與風險管理》等課程的教學工作。主要研究方向為應用随機過程，保險數學和信用風險理論。在保險數學領域學術期刊《Insurance: Mathematics and Economics》和概率論領域學術期刊《Stochastic Process and Their Applications》上先後發表了12篇學術論文。從2008年開始，在《Insurance: Mathematics and Economics》，《Journal of Applied Probabilty》和《Economic Modelling》等期刊上發表了17篇信用風險理論方面的學術論文。先後主持國家自然科學基金3項，江蘇省自然科學基金2項和教育部博士點基金1項。
