Mathematical Finance Seminar

October 12, 2000 , 5:30 PM to 7:00 PM

Alex Kreinin, Algorithmics

Joint Market and Credit Risk Model

We present a multi-step model to measure portfolio credit risk that integrates exposure simulation and portfolio credit risk techniques. The model defines explicitly the joint evolution of market factors and credit drivers over time. The Merton type model of default is extended to multiple time steps. We discuss computation of conditional default probabilities in the model and calibration problems. (This is a joint work with Ian Iscoe and Dan Rosen)