Tid: 4 februari 2008 kl 15.15-16.00

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Karl Hallberg

Titel: Valuing Forward Start CDOs and Options on CDOs using the Hull-White model

Sammanfattning: We present the Hull and White dynamical model for the number of defaults in a homogeneous pool of names. The model is an intensity based characterisation of risk, where risk is either firm specific or market specific. We calibrate the model to market data, the iTRAXX Europe, and identify the characteristics of the model and note its shortcomings in equity tranche pricing. Furthermore we show how the model can be used to price Forward Start CDOs and Options on Forward Start CDOs. The prices of Options on Forward Start CDOs are also compared to an analytical formula for such claims.

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