Μελέτη μοντέλων πιστωτικού κινδύνου αντισυμβαλλόμενου
Modeling counterparty credit risk
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Πιστωτικός κίνδυνος ; ΑντισυμβαλλόμενοςAbstract
In this diploma thesis, we first make a brief presentation to credit derivatives by initially mak-ing a historical review and then by analyzing credit default swap products. A credit default swap agreement (CDS) is a contract between two counterparties, the buyer and the protection seller. The buyer of protection pays premiums to the seller of protection in order to collect compensation from him in the case that a credit event related to a reference entity occurs. In this contract the protection buyer runs the additional risk (mainly for over-the-counter deals) that the counterparty (the protection seller) may also default and consequently be unable to compensate the protection buyer.
Next, we present the respective regulatory framework as well as various models for measuring and assessing the counterparty's risk, reviewing a variety of examples as well as ways to meas-ure and calculate the respective risk.
Finally, we numerically investigate two specific examples with the help of R software package where we estimate the counterparty credit risk via Monte Carlo simulation techniques, com-menting on the results obtained.
Postgraduate Studies Programme
Αναλογιστική Επιστήμη και Διαχείριση ΚινδύνωνDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
73Language
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