Μοντελοποίηση του πιστωτικού κινδύνου και πιστωτικά παράγωγα
Modeling of credit risk and credit derivatives
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Abstract
In this paper we will focus on credit risk and its characteristics. We are going to give the definition of credit risk, the way in which affects the financial institutions and how it can be managed. Moreover, we will present the most common credit risk models and how they are applied. In the last chapters the theoritical background of all the kinds of financial derivatives will be explained and finally credit derivativatives will be fully presented. In the last chapter we undertake the task to proceed with the pricing of credit derivatives using two different approaches- models. By ponting out the relations and differences between the different models while valuates them, this paper will hopefully generate a clear overview of the two different models and how they are applied in the credit risk management and hedging.