Seminar series
Date
Fri, 25 Jan 2013
16:00
16:00
Location
DH 1st floor SR
Speaker
Alex Lipton
Organisation
Bank of America Merrill Lynch and Imperial College
A multi-dimensional extension of the structural default model with firms' values driven by diffusion processes with Marshall-Olkin-inspired
correlation structure is presented. Semi-analytical methods for solving
the forward calibration problem and backward pricing problem in three
dimensions are developed. The model is used to analyze bilateral counter- party risk for credit default swaps and evaluate the corresponding credit and debt value adjustments.