Financial asset pricing with default risk
FP4 — Training and Mobility of Researchers
- Duration
- 1998-02-01 → 2001-01-31
- EU contribution
- —
- Participants
- 2
- Scheme
- RGI
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Project objective
Research objectives and content The objective of the project is to build analytical tools to price securities subject to credit / default risk. Credit risk is particularly important for financial products issued by firms or governments in emerging capital markets. Most pricing models so far have been built, in default-free frameworks and are biased when the possibility of default is introduced: theoretical prices do not match observed prices. The project will start with a review of the current state-of-the-art and will then try to design analytically tractable models able to value financial instruments properly and to replicate the prices and behaviour of securities traded in financial markets. The project will aim at practical applicability of the formulae while being theoretically consistent. Training content (objective, benefit and expected impact) The project will have a high training content as it includes the writing of a PhD thesis in Economics. The course requires attendance to regular seminars, yearly presentations of advancement in research, and it enables students to follow some chosen lectures in any relevant field. Links with industry / industrial relevance (22) The project is very relevant to the banking industry and also to supranational institutions such as the EBRD or the EIB which invest in emerging financial markets. These institutions need tools to value securities with substantial default risk to manage their portfolios.
Original text from CORDIS.
Participants
Links
Data: CORDIS, © European Union