Αποτίμηση της αξίας ενός χαρτοφυλακίου συμβάσεων ανταλλαγής πιστωτικού κινδύνου (CDS) μέσω προσομοίωσης
Monte Carlo Valuation of Basket Default Swaps
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Abstract
Protection against credit risk is one of the biggest challenges in the global financial mar-ket. In order to address this challenge, various types of Credit Default Swaps have been created over the last decades. The purpose of this MSc thesis is to describe the structure and main characteristics of CDS contracts and especially of Basket Credit Default Swaps., and to present and implement (via appropriate software) widely used exact and approximate pricing methods. More specifically, the reduced form model developed by D. O'Kane & S. Turnbull (2003) is presented for the pricing of simple CDS and CDS basket contracts. Moreover, appropriate Monte Carlo simulation methods are described for the approximate pricing of homogenous loss basket CDS contracts. All numerical examples and algorithms were implemented via Wolfram Mathematica software.
Postgraduate Studies Programme
Εφαρμοσμένη ΣτατιστικήDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
82Language
GreekCollections
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές