Παράμετροι που επηρεάζουν την τιμολόγηση των CDS
Parameters affecting the pricing of CDS
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Πιστωτικός κίνδυνος ; Παράγωγα (Χρηματοοικονομική) ; Διαχείριση κινδύνου -- Στατιστικές μέθοδοιAbstract
Credit derivatives although created around 1994, they have become widely known in recent years due to the financial crisis. The Credit Default Swaps (CDS), type of credit derivatives, are financial contracts between two parties, the buyer and seller protection for credit risk. They are one of the main financial instruments of the world economy used commonly by investors for speculation, hedging and arbitrage. Through the study of literature has been conducted on the Credit Default Swaps, our purpose is to assess the impact that may exert some parameters such as debt restructuring, increased interest rates, downgrades a country in CDS, activating risks should be taken into account in issuing them. Also, the pricing depends not only direct factors such as the issue premium, the recovery rate, the credit curve of the reference body and curve LIBOR, but also indirect factors such as liquidity, volatility, time to maturity the yield, risk free rate and various types of risk -credit-systemic- counterparty-liquidity.
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές