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DEEP Séminaires en Macroéconomie

The DEEP organizes a workshop covering a wide array of Macro topics, including growth, business cycles, monetary models, equilibrium asset pricing, labor markets, macro-econometrics, …

Presentations are 1h15, including questions from the audience. The workshop is open to external and internal speakers. 

Send an email to Fang.Liu.2@unil.ch for further information.

Affine Modelling of Credit Risk, Pricing of Credit Events and Contagion

Jean-Paul Renne (HEC Lausanne)

28 novembre 2017  -  12:15-13:30, salle Extranef 110

We propose a new discrete-time affine pricing model for defaultable securities breaking down the
most restrictive assumptions made in existing frameworks. Specifically, our model simultaneously
allows for (i) the presence of systemic entities by departing from the no-jump condition on the
factors’ conditional distribution, (ii) contagion effects, (iii) the pricing of credit events and (iv)
the presence of stochastic recovery rates. Our affine framework delivers explicit pricing formulas
for default-sensitive securities like bonds and credit default swaps. A first application shows how
this framework can be exploited to estimate sovereign credit risk premiums in an equilibrium
model. In a second application, we jointly model term structures of sovereign CDS denominated
in different currencies and extract market-implied probabilities of depreciations at default. A third
application illustrates the ability of the model to replicate the behavior of banks’ CDS spreads
that was observed in the aftermath of the Lehman Brothers’ bankruptcy

Liste des prochaines séances

28 novembre 2017 Affine Modelling of Credit Risk, Pricing of Credit Events and Contagion
Jean-Paul Renne (HEC Lausanne)
12:15-13:30, salle Extranef 110

click here [↓] to go to the attached pdf

Plus d'information
19 décembre 2017 Florin Bilbiie (Paris School of Economics)
Host(s): Philippe Bacchetta
11:30-13:00, salle Extranef 109

click here [↓] to go to the attached pdf
6 mars 2018 Christoph Trebesh (Kiel University)
Host(s): Andreas Tischbirek
12:15-13:30, salle Extranef 125

click here [↓] to go to the attached pdf
20 mars 2018 Andreas Tischbirek (HEC Lausanne)
12:15-13:30

click here [↓] to go to the attached pdf
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