李维萍教授学术报告

发布时间:2018年03月21日 作者:唐颖   消息来源:业务办    阅读次数:[]

报告题目: A default risk model with Markov chain 报告人:李维萍教授,西南交大 报告时间:2018年3月21日下午4:30 报告地点:数理楼145报告厅 Abstract: This talk presents a structure model of default risk under macroeconomic conditions, where the macroeconomic conditions are assumed to be a finite state of Markov chain. The innovation of our model is to characterize the firm default and credit spread associated with macroeconomic conditions. By using the Wiener-Hopf factorization, we show that there is a risk-neutral measure under regime-switching. Under Markov chains, we derive the price of defaultable bond governed by a fundamental system of partial differential equations. Both the defaultable yield-to-maturity, the credit spread and the duration are related to the finite state of Markov chain. 报告人简介:李维萍,男,博士(后),教授。美国俄克拉荷马州立大学(Oklahoma State University)数学系教授,金融学Watson Faculty研究员,中组部第十批国家千人计划专家(西南交通大学),西南交通大学首席教授, 数学学院院长和金融大数据研究院院长, Journal of Finance and Data Science 主编。



打印】【收藏】 【关闭