Meeting Time: Wednesdays, 1:30-3:30
Location: NISS building, Room 203

Remote access for the meeting is available:

• Via webcam -- See instructions (pdf)
• Via teleconference at 919-685-9338
  • International callers dial "[access code] + 1" first (e.g. for Europe, [access code] = 00)

Note: Until we can get the needed bandwidth, equipment, etc. for broadcasting meetings via a webcam, SAMSI will be employing the following process for remote participation in working groups. A webcam picture will be available for viewing during the meetings. However, for audio, participants will have to call into the conference line.

• Recovery Rate
• CDO/Copula/Computational
• Top down approach
• Hybrid Models
• Stochastic Volatility Structural Models
• Dynamic Copulas

These are areas that the group will focus on in the upcoming year.

Articles:

•  Guo X, Jarrow RA, Zeng Y, (2005) Modeling the Recovery Rate in a Reduced Form Model. Working paper, Cornell University. (pdf)

Presentation:

• Slides (pdf)

Top Down Approach

• Slides (pdf)

Articles:

•  Carr P and Linetsky V, (2005) A Jump to Default Extended CEV Model: An Application of Bessel Processes. (pdf)

Presentation:

• Slides (pdf)

• Slides (pdf)

Credit Ratings

• Slides (pdf)

Model for Unified Valuation of Equity and Credit Derivatives

• Slides (ppt)