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Math. Finance Seminar (Wintersemester 2024/2025)

Das Institut für Mathematische Wirtschaftsforschung veranstaltet im Rahmen des Bielefeld Stochastic Afternoon regelmäßig Seminare zum Thema Finanzmathematik. Das Programm des aktuellen Semesters finden Sie hier.

20. November 2024, Uhrzeit: 14 Uhr, Ort: TBA

First Speaker: Rüdiger Kiesel (Universität Duisburg-Essen)

Title: Carbon Default Swap -- Disentangling the Exposure to Carbon Risk Through CDS

Abstract: Using Credit Default Swap spreads, we construct and validate a forward-looking, market-implied carbon risk (CR) factor and show that the impact of carbon regulations on firms' credit risk varies with the regulation's scope and stringency, and with the speed of mandated carbon reduction. Explicit carbon pricing sharpens lenders' evaluations, resulting in firms under such regimes incurring three times the additional credit protection costs. This impact escalates with the proportion of a firm’s direct emissions subject to regulation (stringency) and varies by the sector where firms operate. With an increase in the CR factor, lenders foresee higher costs for short-term transitions.


Second Speaker: Carole Bernard (Vrije Universiteit Brussel)

Title: Risk sharing under ambiguity

Abstract: The distribution of future losses related e.g., to climate risk is typically not perfectly known. We investigate how to design an optimal sharing scheme among agents (insurers; reinsurers; countries...). We first derive the optimal risk sharing under mean-variance preferences when there is possibly distributional ambiguity on the risk to be shared. It is shown that proportional risk sharing is always optimal and that the presence of ambiguity does not affect the risk sharing. Several generalizations are investigated.

 

More Information coming soon.

11. Dezember 2024, Uhrzeit: 14 Uhr, Ort: TBA

First Speaker: Gechun Liang  (University of Warwick)

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Second Speaker: Dirk Becherer (Humboldt-Universität zu Berlin)

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More Information coming soon.

8. Januar 2025, Uhrzeit: 14 Uhr, Ort: TBA

First Speaker: John Armstrong  (King´s College London)

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Second Speaker: Michalis Anthropelos’ (University of Piraeus)

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More Information coming soon.

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