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Κοντορόζης, Χριστόφορος

Development of stochastic models for the study of dependent risks

Master Thesis

Author

Κοντορόζης, Χριστόφορος

Date

2026-09

Abstract

This thesis examines the development of stochastic models to study dependent financial risks, with a particular focus on market risk, interest rate risk, and credit risk. By employing copula functions and Monte Carlo simulations, the analysis demonstrates that traditional linear correlation measures fail to fully capture the relationships between risks, especially during periods of financial stress, thus underscoring the necessity of advanced dependence models for a reliable assessment of total financial risk.

Postgraduate Studies Programme

Αναλογιστική Επιστήμη και Διαχείριση Κινδύνων

Department

Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής Επιστήμης

Number of pages

Language

Greek

URI

https://dione.lib.unipi.gr/xmlui/handle/unipi/19812

Collections

Τμήμα Στατιστικής και Ασφαλιστικής Επιστήμης

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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα