Thông báo: Viện Nghiên cứu cao cấp về Toán tổ chức seminar: Counterparty Risk and Funding: Reduced-Form BSDE Approach Kính mời các thầy, cô và các bạn học viên, sinh viên quan tâm tham dự! Thời gian: 10:30 – 11:30, Thứ Năm, Ngày 23 Tháng 10 Năm 2014 Địa điểm: B4 (705), Viện Nghiên cứu cao cấp về Toán, tầng 7 thư viện Tạ Quang Bửu, ĐHBK Hà Nội. Báo cáo viên: GS Stéphane Crépey Tóm tắt: The credit crisis and the ongoing European sovereign debt crisis have highlighted the native form of credit risk, namely counterparty risk. This is the risk of non-payment of promised cash-flows due to the default of a party in an OTC derivatives transaction. By extension this is also the volatility of the pricing of this risk, the so-called Credit Valuation Adjustment (CVA). Moreover, as banks themselves have become risky, counterparty risk must be understood in a bilateral perspective (CVA and Debt Valuation Adjustment DVA), where the counterparty risk of the two parties are jointly accounted for in the modeling. In this context the classical assumption of a locally risk-free asset which is used for financing purposes (lending and borrowing as needed) is not sustainable anymore, which raises the companion issue of a proper accounting of the funding costs of a position (Funding Valuation Adjustment FVA). And the list is not closed since people now talk about KVA for capital valuation adjustment (in reference to the capital cost of CVA volatility), or AVA for additional valuation adjustment (toward “prudent valuation”, accounting for model risk and credit spreads including own, recently opposed to fair value by Basel). An acronym XVA was even introduced to generically refer to this increasing list of adjustments. This talk will be an introduction to XVA analysis, using BSDEs as a main modeling tool. Link trên website: viasm.edu.vn/events/counterparty-risk-and-funding-reduced-form-bsde-approach/?instance_id=28223&lang=vi
Posted on: Mon, 20 Oct 2014 04:13:17 +0000