学术报告

报告人：张紫晨博士（瑞士信贷量化分析师）

题目：Some Mathematical Problems and Models in Fixed Income Finance

摘要：1. Algorithm for portfolio compression of swaps.

Due to regulation requirement, each trade we did has a risk weight asset (RWA) value, which determines how much money the bank has to hold. Since bank always wants to use their capital rather than just holding them, they have an incentive to reduce the RWA. From the formula for RWA, one will see that RWA for two opposite trades doubles the RWA of each one. This means if we terminate the two trades at the same time, RWA got reduced to 0, without any impact on book value or risks. This is the incentive of portfolio compression. A portfolio of swaps consists of many swaps in the same currency, but with different payment schedules and maturities. We need to find a way to terminates some of them, so that the RWA got reduced by the most, and at the same time changes in book value and risks are not big.

2. Convexity correction for mark-to-market cross currency basis swap under collateralisation.

In the Hull-White framework, we examine the impact of correlations between different rate and FX factors (so called convexity correction) for a mark-to-market cross currency basis swap under collateralisation.

时间：2015年9月21日，星期一上午10：00—11：00

地点：数学系致远楼102

张紫晨简历：2010年必赢76net线路本科毕业，2014年英国牛津大学获博士学位，2014年至今在位于伦敦金融城的瑞士信贷的固定收益部任量化分析师

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