Tid: 2 oktober 2000 kl 1515-1600
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Fredrik Armerin, Matematisk statistik, KTH.
Titel: Credit risk.
Sammanfattning:
An introduction to credit risk, i.e. the risk in connection with firms not being able to fulfil financial obligations, is given. The main sources are the two papers "Modelling Credit Risk" by L. C. G. Rogers and "Modelling of Default Risk: An Overview" by M. Jeanblanc and M. Rutkowski.