Μέθοδοι τιμολόγησης συμβάσεων ανταλλαγής κινδύνου αθέτησης
Pricing methods of credit default swaps
KeywordsΣυμβάσεις ανταλλαγής κινδύνου αθέτησης ; Πιστωτικός κίνδυνος ; Πιστωτικά παράγωγα ; Τιμολόγηση ; Μοντελοποίηση της έντασης ; Δομικά μοντέλα τιμολόγησης
This paper focuses on the two most important measurement methods of credit risk. Initially, and until these methods are launched, reference is made to credit derivatives products and more extensively to their most popular category, Credit Default Swaps. These contracts will give us motivation to study and analyse methods of prediction and addressing possible defaults of different reference entities. The first model we are studying is the reduced form model or intensity model which its construction requires the use of doubly stochastic Poisson processes or otherwise, Cox processes. The structural model is the second pricing method of credit risk based on Robert C. Merton’s work. In order to construct these two methods, it was necessary to model the credit default swap spread. By pointing out the relations and differences between these two models, this paper will hopefully generate a clear overview of two different approaches to modern credit risk management.