Sehr geehrte Damen und Herren, anbei übermitteln wir Ihnen die Einladung zu einem VOSTA-Freitagsseminar von Tom Fischer, Universität Würzburg, mit dem Titel "Valuation in the structural model of financial networks". Termin Freitag, 8. Mai 2015, 11:00 Uhr Ort Geldzentrum der OeNB (OeNB II) Veranstaltungssaal, 3. Stock Garnisongasse 15, 1090 Wien Abstract This presentation summarizes some previously published and several to date unpublished results for an asset and derivatives pricing model which accounts for systemic counterparty risk in a structural manner. The model allows for the cross-ownership of equities and liabilities within a network of financial entities. Assets and liabilities within the system, as well as the corresponding ownership structures, are allowed to depend on the prices of system-exogenous assets. Liabilities, which can also be derivatives of system-exogenous or system-endogenous assets, belong to one of potentially many seniority classes, whose order of priority is properly incorporated. The presented work generalizes some of the results by Eisenberg and Noe, Suzuki, Elsinger, and Gouriéroux et al., and can be understood as a far-reaching extension of the Merton model. Of particular concern are the existence and the uniqueness of price solutions, as well as the existence of greatest (i.e. globally Pareto-dominant) solutions when multiple equilibria exist. In the latter case, unambiguous risk-neutral pricing of all liabilities might still be possible. In line with previous results by Elsinger, the value of a system outsider's holdings is always uniquely determined, and - for the group of all system outsiders and bankruptcy costs absent - it never pays to bail out defaulting entities. Um Ihre Rückmeldung ersuchen wir bis spätestens Mittwoch, 6. Mai 2015. Wir freuen uns auf Ihre Teilnahme und stehen für Fragen gerne zur Verfügung. Mit freundlichen Grüßen, Julia Palatin ---------------------------------------------- Oesterreichische Nationalbank Abteilung für Öffentlichkeitsarbeit und Finanzbildung Communications and Financial Literacy Division Phone: +43-1-404 20-6620 Fax: +43-1-404 20-6697 E-Mail: event-management@oenb.at<mailto:event-management@oenb.at> P Before printing, think about the environment