教育部人文社科重点研究基地中央财经大学中国精算研究院学术活动

精算论坛第125期讲座-王过京(12月7日)

题目：Pricingbasket CDS under a contagion model with regime-switching

摘要 : We consider a two-dimensional reduced form contagionmodel with regime-switching. We assume that the intensities of the defaulttimes are driven by macroeconomy described by a homogenous Markov chain andthat the default of one firm may trigger a positive jump, associated with thestate of Markov chain, in the default intensity of the other firm. Theintensities before the default of the other firm are defined as atwo-dimensional regime-switching shot noise process with common shocks. By“change of measure” and some closed-form expressions for the joint conditionalLaplace transforms of the regime-switching shot noise processes and theintegrated regime-switching shot noise processes, we derive the two-dimensionalconditional and unconditional joint distributions of the default times. Basedon these results, we can express the single-name credit default swap (CDS)spread, the first and second-to default CDS spreads on two underlyings in termsof fundamental matrix solutions of linear, matrix-valued, ordinary differentialequations.

主讲人：王过京

   苏州大学金融工程研究中心教授，博士生导师。1996年至2007年，主要研究方向为风险理论（保险数学），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13篇论文。从2008年开始，主要研究方向为信用风险理论和信用衍生品定价，目前在《Insurance:Mathematics and Economics》, 《Journalof Applied Probability》和《Economic Modeling》等期刊上已发表了14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。  

时间：2017年12月7日(周四) 上午10:00—11:00

地点：中央财经大学学术会堂南楼506（精算院会议室）

欢迎各位老师和同学积极参加！