Speaker: 

Ali Kassir

Institution: 

University of California, Irvine Department of Mathematics

Time: 

Tuesday, November 17, 2015 - 5:00pm

Location: 

440R Rowland Hall

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.