Seminar 217, Risk Management: A Credit Risk Framework With Jumps and Stochastic Volatility

Seminar 217, Risk Management: A Credit Risk Framework With Jumps and Stochastic Volatility

Risk Seminar
Mar 15, 2018, 12:30 PM - 02:00 PM | 1011 Evans Hall | Happening As Scheduled
Speaker: Alec Kercheval, Florida State University (Speaker - Featured)
The jump threshold perspective is a view of credit risk in which the event of default corresponds to the first time a stock's log price experiences a downward jump exceeding a certain threshold size. We will describe and motivate this perspective and show that we may obtain explicit formulas for default probabilities and credit default swaps, even when the stock has stochastic volatility, the...