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 教授苏州尊龙凯时金融工程研究中心

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 thistalk, 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 canbe thus defined as the first jump time of a point process. The default dependence is described by the dependence among the default intensity processesof the defaultable firms. As an example, we present a reduced form credit riskmodel in which the default dependence is described by the common shock andregime switching and correspondingly establish the pricing formula for thebasket CDS spreads.

报告人简介：

王过京，苏州尊龙凯时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 AppliedProbabilty》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。