Διαχείριση κινδύνου των οχημάτων δομημένης χρηματοδότησης
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Keywords
Διαρθρωμένα οχήματα χρηματοδότησης ; Κατώτατο όριο μόχλευσης ; Κεφάλαιο έκτακτης ανάγκης ; Κίνδυνος αναχρηματοδότησης ; Κίνδυνος εμφάνισης defeasance ; Διωνυμικά δέντραAbstract
This thesis presents the design and risk management of special investment vehicles. These financial vehicles epitomize the shadow banking sector characterized by high leverage and long-dated assets supported by short-term debt. We use binomial trees in order to proceed the pricing of both senior and capital notes.
Firstly, we display the theoretical framework which is necessary in order to complete our empirical study. Furthermore, we apply several risk controls in different SIVs and compare our results. Depending on the volatility of the asset pool and the fire-sales discount δ in case of a defeasance, we seek that barrier, which is optimal for both senior and capital note holders. Finally, we inform the creation of more stable SIVs and we propose remedies in order to minimize risks particularly, on senior debt holders by introducing contingent capital or other methods of deleveraging.
On the other hand, this procedure is a difficult task because risks controls are extremely sensitive to the fire sale discounts and pool volatility. Therefore, even small errors in the estimation of the appropriate degree of risk controls may lead these vehicles into failing, given the presence of neglected risks in the shadow banking sector.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική Ανάλυση για ΣτελέχηDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
86Language
Greek
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές