ADAPTIVE FRIDAY

[Doris Prato]

Einladung
zum

Adaptive Friday
06. 11. 1998
TU Wien, Freihaus
Wiedner Hauptstr. 8-10
1040  Wien

Programm:

SFB-Seminar
(im Zeichensaal 3, Institut f=FCr Geometrie 7. Stock, gruener Bereich)

15:00 - 16:00   Prof. Mark Davis
                Tokyo-Mitsubishi Bank, London

                Credit Spreads, Derivative Pricing and Default Risk
               =20
                Abstract: =20

This talk will describe how 'implied default probabilities' are obtained
from market credit spreads, and how these can be used for pricing of credit
derivatives and other transactions such as swaps between risky
counterparties. Some of the problems surrounding the modelling of changes
of rating category, and evaluating the potential exposure of
default-related transactions, will also be discussed.=20

16:00 - 16:30   Kaffeepause

16:30 - 17:30   Prof. Hans Foellmer
                Humboldt-Universitaet Berlin

                Efficient Hedging: Cost versus Shortfall Risk
               =20
                Abstract:

An investor faced with a contingent claim may eliminate risk by (super-)
hedging in a financial market. As this is often quite expensive, we study
partial hedges which require less capital and reduce the risk. In a
previous paper we determined qantile hedges which succeed with maximal
probability, given a capital constraint. Here we look for strategies which
minimize the shortfall risk defined as the expectation of the shortfall
weighted by some loss function. The resulting efficient hedges allow the
investor to interpolate in a systematic way between the extremes of no
hedge and a perfect (super-) hedge, depending on the accepted level of
shortfall risk.=20
=20
=20

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* Special Research Programme                                 *
* "Adaptive Modelling and Information Systems                *
* in Economics and Management Science"                       *
*                                                            *=20
* a joint endeavour of three universities:                   *
* Vienna University of Economics & Business Administration   *=20
* University of Vienna                                       *
* Vienna University of Technology                            *
* sponsored by the Austrian Research Foundation              *
* (FWF: http://www.fwf.ac.at/)                               *
*                                                            *
* for more information consult:                              *
* http://www.wu-wien.ac.at/am/am.html                        *
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