Pricing and modeling credit risk

Kolman, Marek

The thesis covers a wide range of topics from the credit risk modeling with the emphasis put on pricing of the claims subject to the default risk. Starting with a separate general contingent claim pricing framework the key topics are classified into three fundamental parts: firm-value models, reduced-form models, portfolio problems, with a possible finer sub-classification. Every part provides a theoretical discussion, proposal of self-developed methodologies and related applications that are designed so as to be close to the real-world problems. The text also reveals several new findings from various fields of credit risk modeling. In particular, it is shown (i) that the stock option market is a good source of credit information, (ii) how the reduced-form modeling framework can be extended to capture more complicated problems, (iii) that the double t copula together with a self-developed portfolio modeling framework outperforms the classical Gaussian copula approaches. Many other, partial findings are presented in the relevant chapters and some other results are also discussed in the Appendix.

guest :: login Digital Repository
		Search		Submit		Help		About