a le plaisir de vous annoncer que le prochain

Petit Déjeuner de la Finance

aura lieu le

Mercredi 29 janvier 2014 de 8h à 9h30
Wednesday January 29, 2014 8:00 AM - 9:30 AM


sur le thème

The Whys of the LOIS: Credit Risk and Refinancing Rate Volatility

présenté par

Raphael Douady (Riskdata; CES Univ. Paris 1)

Abstract:

The 2007 subprime crisis has induced a persistent disconnection between the LIBOR derivative markets of different tenors and the OIS swap market. Commonly proposed explanations for the corresponding spreads are a combination of credit risk and liquidity risk. However in these explanations the meaning of the terms credit and liquidity is typically not precisely stated, the liquidity in particular being often simply defined as a residual spread after removal of a credit component. In this paper we propose a stylized equilibrium model in which a LIBOR-OIS spread (LOIS) emerges as a consequence of a credit component determined by the slope of the CDS curve of a representative borrower, and a liquidity component corresponding to the volatility of the cost-of-capital of a representative lender. The related notion of liquidity appears as the optionality, valued by the aforementioned volatility, of dynamically adjusting through time the amount of a rolling OIS loan, as opposed to being stuck with lending a fixed amount up to the tenor horizon on LIBOR.

About the speaker:

Dr Raphael Douady, Mathematician and Economist, C.N.R.S. (French national centre for scientific research), Centre d'Economie de la Sorbonne, University of Paris 1. Academic director of LabEx ReFi. Founder & Head of Research, Riskdata S.A.

Raphael Douady is a French mathematician and economist, specialised in financial mathematics and chaos theory. A former fellow of Ecole Normale Supérieure in Paris, he earned his Ph.D. in 1982 in Hamiltonian dynamics and became strongly involved in Finance in 1993. Currently affiliated with Paris 1-Sorbonne University and the French CNRS, he is the Academic Director of LabEx ReFi and has also been appointed International Associate Professor at NYU Polytechnic Institute. He has lead and organized numerous academic and practitioner conferences, including the NYU Courant Institute math finance seminar and FEBS conferences. His most recent research topics are extreme risks and systemic risk. Raphael Douady is one of the founders and the research director of Riskdata, a market-leading provider of risk management tools for the financial industry.

Lieu:

Le prochain Petit Déjeuner de la Finance aura lieu à la

Maison des Polytechniciens
12 rue de Poitiers 75007 Paris.
Metro : Solferino / Musée d'Orsay.


Présentation générale des Petits Déjeuners de la Finance.

Inscription/ Registration :

The Petits Déjeuners de la Finance is a monthly seminar organized in Paris by Frontiers in Finance, a non profit association aimed at the diffusion of quantitative methods in risk management. Registration is free but compulsory in order to participate in the seminar. Send the registration form by email to inscription@frontiers-in-finance.net
Your participation will be confirmed 48h before the event by email.


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Pour plus de renseignements contacter les organisateurs:

Rama CONT

Laboratoire de Probabilités
et Modèles Aléatoires - CNRS

Yann BRAOUEZEC

IESEG School of Management, Paris.
Department of Finance, Audit and Control.

Peter TANKOV

Laboratoire de Probabilités et Modèles Aléatoires
Université Paris-Diderot (Paris 7).