An asymptotic expansion approach to the utility valuation of credit risk under the CEV model

报告题目：An asymptotic expansion approach to the utility valuation of credit risk under the CEV model

报告人：  钱晓松   教授   苏州大学

报告时间： 2026年5月27日9：00

线下报告地点： 红瓦楼726

报告内容简介：In this paper we study the utility indifference valuation of defaultable bonds and credit default swaps (CDS) within a robust framework that incorporates the constant elasticity of variance (CEV) model. Within a reduced-form framework, we study an optimal investment problem in the presence of default where the stochastic default intensity is linked to a non-traded state variable that exhibits slow mean-reversion. For an optimal investment objective governed by a constant absolute risk aversion (CARA) utility function, we derive semi-closed asymptotic solutions to the value function and the indifference prices for defaultable bonds and CDS. We demonstrate that the indifference prices can be interpreted as a perturbation around the prices derived under a constant default intensity framework. Finally, we conduct a sensitivity analysis to evaluate the impact of various risk parameters on the derived prices.

报告人简介：钱晓松，苏州大学教授，博士生导师，金融工程研究中心副主任，主要以偏微分方程、数值分析结合随机分析和随机控制的方法研究信用风险和各类金融衍生产品定价问题，先后在SIAM Journal on Numerical Analysis、IMA Journal of Management Mathematics、Journal of Mathematical Analysis and Applications、Journal of Computational and Applied Mathematics等国内外知名学术期刊发表学术论文多篇。曾出访过英国牛津大学、韩国浦项科技大学、香港理工大学等海外高校。先后主持国家自然科学基金2项和多项企业合作横向课题。

报告邀请人：马俊美