July 17, 2024

Risklab Seminars

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

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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)

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