eprintid: 3658
rev_number: 8
eprint_status: archive
userid: 69
dir: disk0/00/00/36/58
datestamp: 2017-03-06 14:48:06
lastmod: 2017-03-06 14:48:06
status_changed: 2017-03-06 14:48:06
type: conference_item
metadata_visibility: show
creators_name: Gianfagna, Laura
creators_id: laura.gianfagna@imtlucca.it
title: Rating and Pricing: State of the art for the proposal of new methodologies
ispublished: pub
subjects: HB
divisions: EIC
full_text_status: public
pres_type: paper
abstract: Paraphrasing a sentence from the Nobel Prize Robert Merton, without the Risk we would have not
need of Finance; Economy would be sufficient to describe and manage financial transactions across
agents and Countries . The ability of transferring the risk expresses the main aim of Finance; a correct
evaluation of the counterparty risk is one of the main goal of credit risk theory.
Financial crisis remark this necessity: if a financial contract such as a Credit Default Swap, which, by
definition, is a tool to protect against the default risk of a counterpart, is traded between banks and
insurance companies that can not exactly evaluate the financial position of customers, the effects on
global Equilibrium and the loss of value can be severe. The question of pricing methodologies is
strictly linked to the previous topic: is rating sufficient to catch all price fluctuations? What are the
advantages and disadvantages of nowadays pricing methodologies? In which directions can them be
switched or improved? Mathematics can give an answer to us? How information underlying market
risk can be allowed into a Mathematical model of pricing in order not to affect a correct credit risk
evaluation?
These are the questions this article will answer.
date: 2014
date_type: published
publisher: Lupcon Center for Business Research
event_title: LCBR Finance and Economics Conference
event_location: Munich, Germany
event_dates: August 13-15, 2014
event_type: conference
refereed: TRUE
book_title: Proceedings of the Finance and Economics Conference
official_url: http://www.lcbr-archives.com/2014-01.html
citation:   Gianfagna, Laura  Rating and Pricing: State of the art for the proposal of new methodologies.  In: LCBR Finance and Economics Conference, August 13-15, 2014, Munich, Germany         (2014)  
document_url: http://eprints.imtlucca.it/3658/1/Laura-Gianfagna.pdf