CEIS Seminars
Ruediger Frey (University of Vienna)

Markov modulated affine processes and applications to the securitization of European government bonds

CEIS Events
When

Friday 29 October 2021 h. 12:00-13:00

Where

CEIS Seminar blended edition:

  • Faculty of Economics, Building B - Room A - 1st floor - University of Rome "Tor Vergata"
  • Microsoft Teams Webinar

Make your registation here no later than Thursday and you will receive all the information.

Description

Ruediger Frey (University of Vienna)

We study Markov-modulated affine processes (abbreviated MMAPs), a class of Markov processes that are created from affine processes by allowing some of their coefficients to be a function of an exogenous Markov process. MMAPs  allow for richer models in various applications. At the same time MMAPs largely preserve the tractability of standard affine processes, as their characteristic function has a computationally convenient functional form. Moreover, we present a case study where we study various securitization products based on portfolios of European government bonds, in  a portfolio credit risk model with Markov modulated intensities. This part of the talk relates to the debate on so-called European Safe Bonds  as a tool for improving the functioning of the Euro area.

ABSTRACT - PAPER

Contacts

Responsabile Scientifico
Katia Colaneri, Marianna Brunetti, Furio Camillo Rosati

Organizzazione
Barbara Piazzi
06-72595601
piazzi@ceis.uniroma2.it