Αποτίμηση συμβάσεων ανταλλαγής πιστωτικού κινδύνου
Pricing of credit default swaps
KeywordsΠιστωτικός κίνδυνος ; Μοντέλα μειωμένης προσέγγισης ; Συμβάσεις ανταλλαγής πιστωτικού κινδύνου ; Libor ; Credit default swaps
Effective credit risk management is one of the biggest challenges that the participants in the financial market have to face. For that reason the Credit Default Swaps were created as a tool of managing and reducing the credit risk. Since the valuation of CDS contracts is considered as a complicated process, various valuation models have been developed. The main purpose of this thesis is to review the basic characteristics of a CDS contract and to present the reduced-form valuation model based on the hazard rate method developed by D. O’Kane & S. Turnbull (2003). Furthermore, aim of the thesis is the application of the valuation model of O’Kane & Turnbull by using hypothetical data, utilizing suitable software.