OPTIMIZATION SEMINAR

Tuesday, October 10, 2:30-3:20pm

Padelford Hall Room C-036


Credit Risk Measures and Structured Finance

Stan Uryasev

Director of the Risk Management and Financial Engineering Lab, University of Florida
Joint presentation with Alex Nakonechni and Craig Friedman

This seminar presents a brief overview of the most popular instruments on the rapidly developing credit risk market. The concept of credit risk, the reasons for growing importance of credit risk management and the ways how this management may be exercised are covered. A model for pricing collateralized debt obligations (CDOs) developed by Hull and White is described. We present our own optimization approach to this model, which uses maximum entropy principle


Mathematics Department University of Washington