Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 20 for “"Credit Derivatives"”.
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Essays in credit derivatives
… of three essays that examine various problems in credit derivatives. In the first essay, we propose a novel method to extract asset correlations from credit derivatives. Default correlation is a concern especially after witnessing the financial crisis. To find default correlations, we would like …
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Credit derivatives in Brazil
The amounts outstanding of credit derivatives have grown exponentially over the past years, and these financial intruments that allow market participants to trade credit risk have become very popular in Europe and in the United States. Although the Central Bank of Brazil passed regulation in 2002 …
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Quantitative Modeling of Credit Derivatives
… in the existing approaches for modeling credit derivatives. This dissertation studies various issues related to the modeling of credit derivatives: hedging of portfolio credit derivatives, calibration of dynamic credit models, and modeling of credit default swap portfolios. In the first …
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Modeling credit risky bonds and credit derivatives
Thesis (M.S.)--Massachusetts Institute of Technology, Sloan School of Management, 1997.
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A Dynamic Correlation Model for Pricing Credit Derivatives in A Lattice Framework
… for the hazard rates during the portfolio credit derivative pricing. Particularly, a specific bi-variate process has been handled by the operator method to tackle the challenge of calculating joint transition probabilities for the bi-variate process. The joint generator is constructed on a …
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Credit derivatives : market dimensions, correlation with equity and implied option volatility, regression modeling and statistical price risk
… thesis explores the market dimensions of credit derivatives including the prevalent product structures, leading participants, market applications and the issues confronting this relatively new product. We find the market continues to experience significant growth particularly in single …
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An examination of bank use of credit derivatives to mitigate risk: an empirical analysis of its potency and impact on bank portfolio management and performance
… what drives the risk appetite of US banks to use credit derivatives to mitigate risk, the potency and impact of the instruments on bank portfolio management and performance. Panel data covering the period of 2002 to 2011 was employed and segmented into three phases (pre-crisis, crisis and …
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Modelling dependance in collateralied debt obligations with copulas
In this paper we provide a review of credit derivatives, and some of the tools used to model them. We give a basic introduction to copulas and how they are used to model the depedence between single name credit derivatives. We then investigate various features of Gaussian and t copula dependence …
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Three Essays on Credit Risk with a Special Focus on the Subprime Financial Crisis
The dissertation "Three Essays on Credit Risk with a Special Focus on the Subprime Financial Crisis" consists of three self-contained essays. At the core of the dissertation is the market for credit risk and its role during and after the recent subprime financial crisis. In particular, it is …
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Modelling portfolios of credit securities
The study of credit derivatives is one of the most popular and controversial issues that concerns the entire financial industry. Increases of defaults and bankruptcies during the recent credit crunch has stipulated a heated debate about the adequacy of the existing pricing and hedging methodologies …
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Essays on credit risk, risk adjusted performance and economic capital in financial institutions
… of defaultable bonds, loans and plain vanilla credit derivatives, 2. the use of risk-adjusted performance measurement, for optimal portfolio management in the banking, asset management and insurance industries 3. return on economic capital as a measure of value created by the holding of bank …
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Developing a new CMBS hedging tool : a property price index-based synthetic
By isolating credit as a distinct asset class, credit derivatives provide new vehicles for synthetically trading and transferring credit exposure of commercial real estate without buying or selling the physical assets. Recent developments of CMBS index-based synthetics, namely the CMBX, have …
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Pricing Basket of Credit Default Swaps and Collateralised Debt Obligation by Lévy Linearly Correlated, Stochastically Correlated, and Randomly Loaded Factor Copula Models and Evaluated by the Fast and Very Fast Fourier Transform
… growth has been added to the volume of the credit risk derivatives market. This growth has been followed by the current financial market turbulence. These two periods have outlined how significant and important are the credit derivatives market and its products. Modelling-wise, this growth …
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Term structures of conditional probabilities of corporate default in an incomplete information setting
With the emergence and expansion of credit derivatives, which are financial instruments that are based on corporate bonds and provide their holders a protection against default, the importance of estimating probabilities of default has reached an unprecedented level. We have developed a Bayesian …
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Modelling the Dynamics of Credit Spreads of European Corporate Bond Indices
Credit spreads are important financial tools, since they are used as indicators of economic progression, investment decisions, trading and hedging, as well as pricing credit derivatives. Their role has become more significant for the European fixed income markets since the introduction of the Euro, …
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Time-inhomogeneous Lévy processes in interest rate and credit risk models
… thesis, we present interest rate models and a credit risk model, all driven <br>by time-inhomogeneous Lévy processes, i.e. stochastic processes whose increments <br>are independent but in general not stationary. <br> <br>In the interest rate part, we discuss a Heath-Jarrow-Morton forward rate …
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Pricing and hedging credit-risky derivatives using corporate bonds
… yield and risk. higher yield results in higher credit risk (the probability of default is higher). The answer is to invest in corporate bonds and simultaneously find ways to minimise the credit risk associated with those purchases. Credit derivatives (options in particular for this paper) are …
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Modeling and quasi-Monte Carlo simulation of risk in credit portfolios
Credit risk is the risk of losing contractually obligated cash flows promised by a counterparty such as a corporation, financial institution, or government due to default on its debt obligations. The need for accurate pricing and hedging of complex credit derivatives and for active management of …
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Modelling, forecasting and riding credit risk in the Sterling Eurobond market
… to make a contribution to the understanding of credit risk dynamics in the Sterling Eurobond market. The background to the thesis is the increasing size, complexity and volatility of all debt markets, where the tasks of measuring, understanding and forecasting credit risk are of central …
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Evolutionary supply chain risk management : transforming culture for sustainable competitive advantage
… solutions, specifically, prediction markets and credit derivatives concepts. In conclusion, we argue that evolutionary risk management processes accompanied by a radical shift in business risk culture are required to achieve competitive advantage through supply chain risk management.