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Seminar on Quantitative Finances: Wim Schoutens

Seminar on Quantitative Finances: Wim Schoutens

Speaker: Wim Schoutens, Catholic University of Leuven Títol: New challenges in Mathematical Finance: Conic CVA and DVA

21/03/2016 des de/d' 16:00"
Aula de l'IMUB, Facultat de Matemàtiques, Universitat de Barcelona
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We first introduce the basic concepts of the brand new conic finance theory. Conic finance delivers a consistent two-price theory fundamentally modelling the acceptability of risks. Conic‎ pricing (or bid and ask pricing) of credit risk shows how counterparty credit risk when conservatively valued at the bid price results in larger CVA than would occur under risk neutral pricing. On the other hand when it comes to the debt valuation adjustment, since it is a liability, it must be priced at the ask. This mitigates and can even eliminate the DVA.‎ ‎


Més informació a http://www.crm.cat/en/Research/Networks/QuantitativeFinance/Pages/Seminar.aspx