Στοχαστικά μοντέλα συνεχούς χρόνου για την αποτίμηση αξιογράφων που ενέχουν πιστωτικό κίνδυνο
Continuous-time stochastic models for defaultable securities
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Keywords
Credit default swaps ; Continuous time stochastic models ; Reduced models ; Hazard rate ; Default riskAbstract
In this MSc thesis, we first present an overview of the main methods of evaluating securities that involve credit risk, such as bonds of entities that involve a risk of default, i.e. there exists possibility of inability to fulfil their loan obligations. In general, credit risk models are classified into two main categories: Structural Models and Reduced Form Models or Hazard Rate Models. In this thesis Reduced Form Models will mainly be used and credit risk hedging procedures through appropriate credit derivatives will also be presented. Finally, a numerical example of estimating the probability of default of various large firms will be presented using the computational software Python® and market data.