Risk Management & Trading Conference en México

Risk Conference

RiskMathics de México esta organizando esta Conferencia del 18 a 21 de Junio en México DF. Tal vez puede ser interesante para alguno de Ustedes. “(…) Uno de los objetivos fundamentales de esta Conferencia es brindar a través de Talleres, Ponencias y Mesas Redondas los últimos avances en Administración de Riesgos, Trading y Regulación de...+

Paper: Información sobre default: Precio de las opciones


A Framework for Extracting the Probability of Default  from Stock Option Prices Abstract This paper develops a framework to estimate the probability of default (PD)  implied in listed stock options. The underlying option pricing model measures PD  as the intensity of a jump diffusion process, in which the underlying stock price jumps to zero at...+

Paper: Burjula.. vos calladita..


Quiet Bubbles Commentaries on the credit bubble of 2003-2007 routinely equate it with earlier episodes like the Internet boom. While credits were over-priced like Internet stocks a decade before, we show, using a model based on disagreement and short-sales constraints, that this is where the similarity ends. Equity bubbles are loud: price and volume go...+