Vorlesen

Research Seminar Series in Statistics and Mathematics

Wirtschaftsuniversität Wien , Departments 4 D4.4.008 09:00 - 10:30

Art Vortrag/Diskussion
SpracheEnglish
Vortragende/rZachary Feinstein (Department of Electrical & Systems Engineering, Washington University in St. Louis, USA)
Veranstalter Institut für Statistik und Mathematik
Kontakt katrin.artner@wu.ac.at

Zachary Feinstein (Department of Electrical & Systems Engineering, Washington University in St. Louis, USA) about "Pricing debt in an Eisenberg-Noe interbank network with comonotonic endowments"

The Institute for Statistics and Mathematics (Department of Finance, Accounting and Statistics) cordially invites everyone interested to attend the talks in our Research Seminar Series, where internationally renowned scholars from leading universities present and discuss their (working) papers.

The list of talks for the winter term 2018/19 is available via the following link: https://www.wu.ac.at/en/statmath/resseminar

Abstract:
In this talk we present formulas for the pricing of debt and equity of firms in a financial network under comonotonic endowments. We demonstrate that the comonotonic setting provides a lower bound to the price of debt under Eisenberg-Noe financial networks with consistent marginal endowments. Such financial networks encode the interconnection of firms through debt claims. The proposed pricing formulas consider the realized, endogenous, recovery rate on debt claims. Special consideration will be given to the setting in which firms only invest in a risk-free bond and a common risky asset following a geometric Brownian motion.



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