Risklab (University of Toronto) and the Fields Institute are pleased
to announce the inauguration of a regular seminar series, titled the
Risklab seminars. For further information, consult www.risklab.ca
Please subscribe to the Fields mail list to
be informed of upcoming seminars.
=================================================
SEMINARS
Friday May 19 PRMIA-RISKLAB SEMINAR
12:10PM * -- Fields Institute,
Alistair Milne,
City University, London UK
The Relationship between Economic, Regulatory, and Prudential
Capital.
This presentation compares economic capital, the risk-adjusted performance
measure widely used by banks, with prudential capital measures such
as those imposed by bank regulators. I will first consider conditions
set out in Milne and Onorato (2006) that allow financial institutions
to measure performance using return on prudential capital (value at
risk). These conditions are implausibly strong, suggesting that prudential
and economic capital are unconnected. I will then present ongoing research
on the impact of regulatory requirements on bank capital structure,
performance measurement, and loan decisions showing that for banks consistently
pursuing shareholder value, regulatory requirements should have only
minor impact on bank valuation or
business decisions.
Friday March 3
10:00 am Stewart Library, Fields Institute
Michael Walker, Professor, Department of Physics, University of Toronto.
CDO Models -- Towards the Next Generation: Incomplete Markets
and Term Structure
This talk describes a new approach to the risk-neutral valuation of
CDO tranches, based on a general specification of the tranche loss distributions
and the index default distribution. The new model is a term-structure
model, and the generality with which the basic distributions are specified
allows it to be perfectly calibrated to any set of market prices (for
any number of tranches and maturities) that is arbitrage-free. The use
of the new model is illustrated by testing market prices for the standardized
iTraxx index tranches (for all marketed tranches and maturities) to
see if they are arbitrage-free. Another example is the determination
of the arbitrage-free range of prices allowed for an unmarketed tranche.
Because the model is an incomplete-market model characterized by many
more parameters than market prices, it was essential to develop an efficient
optimization approach to valuation.
Friday February 10.
10:00 am Stewart Library, Fields Institute
Sebastian Jaimungal. Proffesor, Department of Statistics. University
of Toronto.
Catastrophe Options with Stochastic Interest Rates
This talk will discuss the pricing and hedging of catastrophe equity
put options under stochastic interest rates with losses generated by
a compound Poisson process. Asset prices are modeled through a jump-diffusion
process, with jump components correlated to the loss process. The effects
of stochastic interest rates and variance of the loss process on the
option's price will be illustrated through numerical experiments. I
will also provide some simulation results of a Delta-Gamma-Rho neutral
hedging strategy.
Friday January 27, 2006
10:00 am, Library, Fields Institute.
Sebastian Ferrando. Chair, Department of Mathematics. Ryerson
University
Haar Wavelets Systems for Efficient Hedging of Financial Derivatives
Friday January 13.
10:00 am, Library, Fields Institute.
Janko Hernandez, PhD student. (Supervisor: Luis Seco)
Hidden Markov Models in Energy Markets.
We investigate the behavior of a class of hidden Markov models. It is
an alternative to the Pilipovic's model for energy prices, with the
additional restriction of a price cap. In particular, we are interested
in a two-dimensional stochastic differential equation, where only one
variable is assumed to be observable at discrete times, and only when
it is below a given boundary. We study the case where the observable
variable depends on the hidden variable only in its drift coefficient,
and we develop a framework for the estimation of the parameters of the
model based on its ergodic properties.
Friday November 25, 2005
10:00 am , Fields Institute.
Luis Seco, Professor of Mathematics UofT and Director of Risklab
Collateralized Fund Obligation (CFO)
Back to top
