Fegyverneki, Tamás (Morgan Stanley) 

Will I get my money back? - Modeling counterparty default

While they existed before 2008 as well, after the crisis financial companies started to include a more detailed (and more regulated) set of adjustments in their derivative pricing regarding possible future defaults of trading partners, and counterparty credit risk modeling became a fundamental part of the business.

The calculation of credit valuation adjustment, the extra fee for being credit risky is based on two major elements: pricing our exposure at future time points (i.e., how much money they owe me), and modeling the distribution of time when our counterparty goes bankrupt. We will focus on the latter: take a brief look of the basics of modeling the distribution of default through the pricing of a specific asset type, the credit default swap (CDS). We will start with what credit risk is, then have a short historical overview of the CDS, the mathematical model of its pricing and its use in modeling default occurrences and CVA calculation. We will talk about some challenges, either mathematical or financial, that arise in actual daily practice of this proccess....

The talk is held in English!

Az előadás nyelve angol!

Date: Oct 13, Tuesday 4:15pm

Place: MS Teams BME, Building „Q”, Room QBF13

Homepage of the Seminar