Mathematics Graduate Student Colloquium

MGSC Website: http://math.uci.edu/~mgsc/

Markovian Modeling of Credit Risk

Ali Kassir
Tuesday, November 17, 2015
5:00 pm - 5:50 pm
RH 440R

Talk Abstract:

Credit ratings have been an important variable in the measurement and management of credit risk. In this talk I will present a Markovian model of credit risk that takes into account an individual's migration between different credit ratings. I will also discuss the portfolio case and introduce a model for the correlation that takes place in a portfolio. I will present a way of measuring the associated Value at Risk and using it to set interest rates. Finally, I will present some results using data.

About the Speaker:

Ali is a 5th year graduate student at UC Irvine. He obtained his B.S. and M.S. in Mathematics from UC Irvine. Ali enjoys road trips with his wife and 9.5 month old son.

Refreshments:

Pizza will be served after the talk.