{"id":{"repo_id":"uwo","oai_identifier":"oai:uwo.scholaris.ca:20.500.14721/36437"},"canonical_url":"https://search.dev.ndltd.org/etd/uwo/oai:uwo.scholaris.ca:20.500.14721/36437","repository":{"repo_id":"uwo","name":"Western University","base_url":"https://uwo.scholaris.ca/server/oai/request"},"display":{"title":"Modelling Credit Value Adjustment Using Defaultable Options Approach","abstract":"This thesis calculates Credit Value Adjustment on defaultable options. The prices of default- able European options are computed through analytical, quadrature approximation and Monte Carlo simulations under the assumption of a constant rate of default. Subsequently, we propose to inversely relate the company’s instantaneous rate of default to its underlying stock price, re- sulting in a non-constant rate of default. This allows for a new approach to estimate the default of company different from previous work where default is calculated through historical data. The rationale behind this idea relies on the fact that price of the stock plunges before the event of default. For a given set of option parameters, we show that it is possible to find an optimal intensity, which produces the same prices of European options under a simpler framework. However, this intensity fluctuates with changes in other parameters. Implementation details and analysis of the results are provided.","abstract_html":"This thesis calculates Credit Value Adjustment on defaultable options. The prices of default- able European options are computed through analytical, quadrature approximation and Monte Carlo simulations under the assumption of a constant rate of default. Subsequently, we propose to inversely relate the company’s instantaneous rate of default to its underlying stock price, re- sulting in a non-constant rate of default. This allows for a new approach to estimate the default of company different from previous work where default is calculated through historical data. The rationale behind this idea relies on the fact that price of the stock plunges before the event of default. For a given set of option parameters, we show that it is possible to find an optimal intensity, which produces the same prices of European options under a simpler framework. However, this intensity fluctuates with changes in other parameters. Implementation details and analysis of the results are provided.","abstract_has_math":false,"creators":["Zhabjaku, Sidita"],"institution":"The University of Western Ontario","degree_name":"M Sc","degree_level":null,"degree_discipline":"Statistics and Actuarial Sciences","degree_department":null,"school":null,"contributors":[],"advisors":["Matt Davison"],"committee_chairs":[],"committee_members":[],"year":2013,"date_issued":"2013-08-26","date_published":"2013-08-26","updated_at":"2026-07-27T21:55:59Z","subjects":["Defaultable Options","Credit Value Adjustment","Poisson Process"],"languages":["en_ca"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"https://hdl.handle.net/20.500.14721/36437","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Matt Davison"]},{"key":"dc:creator","label":"Author","values":["Zhabjaku, Sidita"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2025-07-10T21:21:47Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2025-07-10T21:21:47Z"]},{"key":"dc:date.issued","label":"Date","values":["2013-08-26"]},{"key":"dc:publisher","label":"Institution","values":["The University of Western Ontario"]},{"key":"dc:type","label":"Dc Type","values":["thesis"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Statistics and Actuarial Sciences"]},{"key":"thesis:degree_name","label":"Degree Name","values":["M Sc"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Defaultable Options","Credit Value Adjustment","Poisson Process"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language.iso","label":"Language (ISO)","values":["en_ca"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["https://hdl.handle.net/20.500.14721/36437"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["The thesis cover page in the PDF document includes references to Western University’s previous institutional repository platform, known as Scholarship@Western, and links to that platform (beginning with ir.lib.uwo.ca). In citing or referring to this thesis, use the DOI or handle from this page instead. Sample citation: Author name, \"Thesis title.\" (Year). Western University Open Repository. https://doi.org/10.71858/123456."]},{"key":"dc:description.abstract","label":"Abstract","values":["This thesis calculates Credit Value Adjustment on defaultable options. The prices of default- able European options are computed through analytical, quadrature approximation and Monte Carlo simulations under the assumption of a constant rate of default. Subsequently, we propose to inversely relate the company’s instantaneous rate of default to its underlying stock price, re- sulting in a non-constant rate of default. This allows for a new approach to estimate the default of company different from previous work where default is calculated through historical data. The rationale behind this idea relies on the fact that price of the stock plunges before the event of default. For a given set of option parameters, we show that it is possible to find an optimal intensity, which produces the same prices of European options under a simpler framework. However, this intensity fluctuates with changes in other parameters. Implementation details and analysis of the results are provided."]},{"key":"dc:title","label":"Title","values":["Modelling Credit Value Adjustment Using Defaultable Options Approach"]}]}],"canonical_facts":{"dc:contributor.advisor":["Matt Davison"],"dc:creator":["Zhabjaku, Sidita"],"dc:date.accessioned":["2025-07-10T21:21:47Z"],"dc:date.available":["2025-07-10T21:21:47Z"],"dc:date.issued":["2013-08-26"],"dc:description":["The thesis cover page in the PDF document includes references to Western University’s previous institutional repository platform, known as Scholarship@Western, and links to that platform (beginning with ir.lib.uwo.ca). In citing or referring to this thesis, use the DOI or handle from this page instead. Sample citation: Author name, \"Thesis title.\" (Year). Western University Open Repository. https://doi.org/10.71858/123456."],"dc:description.abstract":["This thesis calculates Credit Value Adjustment on defaultable options. The prices of default- able European options are computed through analytical, quadrature approximation and Monte Carlo simulations under the assumption of a constant rate of default. Subsequently, we propose to inversely relate the company’s instantaneous rate of default to its underlying stock price, re- sulting in a non-constant rate of default. This allows for a new approach to estimate the default of company different from previous work where default is calculated through historical data. The rationale behind this idea relies on the fact that price of the stock plunges before the event of default. 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