Εκτίμηση της πιθανότητας χρεοκοπίας με βάση δεδομένα της αγοράς και χρηματοοικονομική επιτήρηση
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Abstract
In recent years, various tools, models and procedures have been developed regarding the evaluation and measurement of credit risk, since the interest of financial institutions for rational management of credit risk has turned into an overwhelming need. It has now become clear that credit risk is the most serious threat to the solvency of credit organizations and often to their viability.
The Bank of Greece, aware of the challenges created by these developments, has intensified the prudential supervision of banks, in accordance with the revised regulatory framework of Basel.( Basel III)
In the present thesis we will describe a method of estimating credit risk exposure as derived from the analysis of available market data regarding risk premiums and the yield curve for corporate bonds or loans. More specifically, supervisory measures and their importance for the proper functioning of the financial market will be presented. Then, we will present the default probability prediction models for lending one and two-period without and with recovery and generalize the model for multiple periods. Finally, in the case that we have stochastic interest rates, we will examine how we can study the above models using simulation.
Postgraduate Studies Programme
Αναλογιστική Επιστήμη και Διαχείριση ΚινδύνωνDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
83Language
GreekCollections
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα