Credit Rating Migration Risks in Structure Models

Jin Liang, PhD of Applied Mathematics from Peking University, Professor in School of Mathematical Science, Tongji University. Her research interests focus on applications of PDE, especially on financial mathematics. She published more than 100 academic papers,  including pricing financial derivatives, measuring credit risks, financial calculations, carbon reduction controlings etc. She is also a well-known popular science writer in China.Bei Hu, Professor in University of Notre Dame, Department of Applied and Computational Mathematics and Statistics, is an expert in PDE and its applications. He published over 100 papers in a variety of aspects of PDE applications including Blowup Theory, Mathematical Biology, and Mathematical finance. In the past at the University of Notre Dame, he served as a department chair in the Department of Mathematics, department chair in the Department of Applied and Computational Mathematics and Statistics, Associate Dean in the College of Science. He also serves on the editorial board of several journals.

• Financial Background.- Preliminary Mathematical Theory.- Mathematical Models for Measuring Default Risks.- Markov Chain Approach for Measuring Credit Rating Migration Risks.- Application of Reduced Form/Markov Chain Credit Rating Migration Model.- Structure Models for Measuring Credit Rating Migration Risks.- Theoretical Results in the Structural Credit Rating Migration Models.- Extensions for Structural Credit Rating Migration Models.- Credit Derivatives Related to Rating Migrations.- Numerical Simulation, Calibration and Recovery of Credit Rating Boundary.