报告题目：The valuation of some portfolio credit derivatives under reduced form models with dependent default risk
报 告 人：王过京 教授 苏州大学金融工程研究中心
报告时间：2019年6月11日 10：00-11：00
报告地点：数学楼第二报告厅
报告摘要：
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.
报告人简介：
王过京，苏州大学金融工程研究中心教授，博士生导师。承担《随机过程》，《随机分析》，《随机积分与微分方程》，《Levy过程》，《衍生产品定价》，《资产定价与风险管理》等课程的教学工作。主要研究方向为应用随机过程，保险数学和信用风险理论。在保险数学领域学术期刊《Insurance: Mathematics and Economics》和概率论领域学术期刊《Stochastic Process and Their Applications》上先后发表了12篇学术论文。从2008年开始，在《Insurance: Mathematics and Economics》，《Journal of Applied Probabilty》和《Economic Modelling》等期刊上发表了17篇信用风险理论方面的学术论文。先后主持国家自然科学基金3项，江苏省自然科学基金2项和教育部博士点基金1项。
