Industrial Mathematics Seminar

Understanding the Behaviour of Credit Correlations Under Stress

Speaker(s): 
Michael Kalkbrener (Deutsche Bank AG)
Date: 
Thursday, February 7, 2013 - 4:00pm
Location: 
TU Berlin, Raum MA 041

Understanding the Behaviour of Credit Correlations Under Stress We present a general approach to implementing stress scenarios in a multi-factor credit portfolio model. Although the methodology is developed in a particular factor model, the main concept - stressing risk factors through a truncation of their distributions - is independent of the model specification. We derive analytic formulae for asset correlations under stress in Gaussian and t-distributed factor models.

Robust Airline Planning

Speaker(s): 
Ivo Nowak (Lufthansa Systems AG)
Date: 
Thursday, June 14, 2012 - 4:00pm
Location: 
TU Berlin, Department of Mathematics (Room MA 041)
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