Seminar 217, Risk Management: Stochastic Intensity Margin Modeling of Credit Default Swap Portfolios

Seminar 217, Risk Management: Stochastic Intensity Margin Modeling of Credit Default Swap Portfolios

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Sep 6, 2016, 11:00 AM - 01:00 PM | 639 Evans Hall | Happening As Scheduled
Baeho Kim (Joint with Samim Ghamami and Dong Hwan Oh), UC Berkeley (Speaker - Featured)
Abstract: We consider the problem of initial margin (IM) modeling for portfolios of credit default swaps (CDS) from the perspective of a derivatives Central Counterparty (CCP). The CCPs' IM models in practice are based on theoretically-unfounded direct statistical modeling of CDS spreads.