Αποτίμηση συμβάσεων ανταλλαγής πιστωτικού κινδύνου

Παππά, Διονυσία

Pricing of credit default swaps

Master Thesis

Author

Παππά, Διονυσία

Date

2016-06

Abstract

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.

Postgraduate Studies Programme

Αναλογιστική Επιστήμη και Διοικητική Κινδύνου

Department

Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής Επιστήμης

Number of pages

Language

Greek

URI

https://dione.lib.unipi.gr/xmlui/handle/unipi/10083

Collections

Τμήμα Στατιστικής και Ασφαλιστικής Επιστήμης

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