Morton Topfer Chair Lecture-Provisioning Against Borrowers Default Risk

Lecture / Panel
For NYU Community

We cordially invite you to attend the Morton Topfer Chair Lecture on Tuesday, April 14, 2015 at 4:30 PM in LC 400.

Dr. Pierre Vallois, from the Institut Elie Cartan de Lorraine at the Universite de Lorraine, France will present the following talk:

“Provisioning Against Borrowers Default Risk”

This talk focuses on the risk of loan default from the point of view of an insurer required to indemnify a bank for losses resulting from a borrower defaulting. The main objective  is to model the provision (or claim reserve) against the risk of borrowers defaulting. Unlike traditionally used models, our model depends on specic information concerning the borrowers (amount borrowed and term of loan). Our approach will also take into account three kinds of dependence: the dependence between each claim amount (by taking into account the real estate price), the dependence between the date of default and the claim amount, and the dependence between the number of defaults and the claim amount. Both theoretical and applied, our model allows the calculation of the mean, the variance, and the law of the provision. The amount of data available allows us to estimate all the parameters and to calculate the mean and the variance plus the quantiles of the provision.

Refreshments will be served at the FRE Social beginning at 4:00PM. See attached poster for specific details. Mark your calendars.