主讲人： 钱晓松

   主讲人工作单位：苏州大学

   时间：2020年7月29日 15:00

   地点：腾讯在线会议（会议号：644440402，密码：2580）

   主讲人简介：

钱晓松教授，任职于苏州大学金融工程研究中心，主要以偏微分方程、数值分析结合随机分析和随机控制的方法研究信用风险和各类金融衍生产品定价问题，在《SIAM   Journal on Numerical Analysis》、《IMA Journal of Management Mathematics》、《Journal   of Mathematical Analysis and Applications》等知名学术期刊发表学术论文十多篇，先后主持国家自然科学基金2项（10801115，11671291）。

讲座主要内容：

In this paper we propose a   Markov chain model to price basket credit default swap (BCDS) and basket   credit-linked notes (BCLN) with counterparty and contagion risk. Suppose that   the default intensity processes of reference entities and counterparty are   driven by an common external shock as well as defaults of other names in the   contracts. The stochastic intensity of the external shock is a Cox process   with jumps. We derive recursive formulas for the joint distribution of   default times and obtain closed-form premium rates for BCDS and BCLN.   Numerical experiments are performed to show how the correlated default risks   may affect the premium rates.