Kuliah Umum 演講訊息

摘要： We suggest a generic first passage time model with random barrier and information feedback for default times of a portfolio of correlated names, which includes well-known structural and intensity models and opens up new research problems. We illustrate the idea with a copula contagion mixture model and show that contagion and correlation have enormous joint pricing impact on portfolio credit derivatives and CVAs, especially on senior tranches.