Banca IMI, Milano and Imperial College, London
Credit Risk Modelling Before and After the Crisis
Friday May 29th 2015
9.30 - 13.00 Aula Fermi
Scuola Normale Superiore - Pisa
The financial crisis started in 2007 has shown that any pricing framework must include from the very beginning the possibility of default of any market player. As a consequence derivative valuation and risk analysis have moved from exotic derivatives managed on simple single-asset classes to simple derivatives embedding credit risk and new, or previously neglected, types of complex and interconnected non-linear effects. Derivative valuation is adjusted to include counterparty credit risk and contagion effects along with funding costs due to collateral posting, treasury policies, and regulatory constraints. A second level of complexity is produced by moving from a single trade to the whole bank portfolio. Aggregation-dependent valuation processes, and theirs operational challenges, arising from non-linearities are discussed both from a mathematical and practical point of view.
Download slides here.
All interested people are kindly invited.