Event Diary
CRiSM Seminar: Martin Baxter
Location: A1.01
Dr Martin Baxter, Nomura International
Levy Modelling of Credit
This talk will start with some simple models of credit dynamics, and embed them in a general Levy process framework. A particular instance, the Gamma process, will then be studied with reference to both its theoretical and practical properties. A brief analysis of the ongoing credit crisis in terms of Levy modelling. Time permitting, we will also look at some other applications.
Levy Modelling of Credit
This talk will start with some simple models of credit dynamics, and embed them in a general Levy process framework. A particular instance, the Gamma process, will then be studied with reference to both its theoretical and practical properties. A brief analysis of the ongoing credit crisis in terms of Levy modelling. Time permitting, we will also look at some other applications.
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