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Do. 21.02.2019, Oberseminar Stochastik

FÄLLT AUS WEGEN KRANKHEIT Thema: Valuation in Financial Networks: Credit Default Swaps, Puts, Debt, and Equity. Referent: Prof. Dr. Tom Fischer, Uni Würzburg, Donnerstag, 21.02.2019,


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Oberseminar Stochastik

Valuation in Financial Networks: Credit Default Swaps, Puts, Debt, and Equity.

Donnerstag, den 21. Februar 2019, um 17:15 Uhr, im Raum ENC-D 201,

Referent: Prof. Dr. Tom Fischer, (Uni Würzburg)


Abstract: A structural model of a financial network is considered in which each member firm can issue simple debt, credit default swaps, and equity puts on any other member firm, including itself. All system liabilities, including equity, can be part-owned by any firm in the system. The firms can either give top precedence to their simple debt, and a lower pari passu seniority to their derivatives, or they can pool all liabilities (excl. equity) in one single pari passu seniority. It is shown that if the underlying combined nominal amount of all CDS which have been issued on any firm's debt is less than half of the nominal amount of this firm's debt that is owned by system outsiders, and if the analog condition applies to equity puts and equity held by outsiders, existence and uniqueness of a clearing price vector is warranted, which - in a stochastic version of the model - allows simultaneous risk- neutral valuation of all liabilities. A generalization of the Modigliani-Miller capital structure irrelevance theorem to financial networks is implied by the obtained results.


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