Instituto Superior de Economia e Gestão (ISEG)
Eventos
SEMINÁRIO ISEG 2S | Structural Credit Risk Models under Incomplete Information and the Pricing of Contingent Convertibles
Em 09-05-2014 às 14:00 / Quelhas 6 | Piso 3 | Sala UNICRE
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Abstract
The talk is concerned with structural credit risk models with incomplete information of the asset value in the spirit of Duffie Lando (2001). It is shown that the pricing of typical corporate securities such as equity, corporate bonds or CDSs leads to a nonlinear filtering problem. We briefly explain how to solve this problem.
This permits to characterize the default intensity under incomplete information and to give an explicit description of the dynamics of corporate security prices. Finally, we explain how the model can be applied to the pricing of bond and equity options, we present results from a number of numerical experiments and we discuss the pricing of contingent convertibles.
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Meeting the Speaker
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