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ریسک اعتباری و مشتقات اعتباری : مدل سازی ریاضی و شبیه سازی عددی
زرگری، بهناز Zargari, Behnaz
Cataloging brief
ریسک اعتباری و مشتقات اعتباری : مدل سازی ریاضی و شبیه سازی عددی
پدیدآور اصلی :
زرگری، بهناز Zargari, Behnaz
ناشر :
صنعتی شریف (با همکاری دانشگاه اوری فرانسه)
سال انتشار :
1390
موضوع ها :
مشتقات مالی اعتباری Credit Derivatives توسیع پالایه Filtration Enlargement روش مبتنی بر...
شماره راهنما :
02-46578
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Thesis.pdf
Introduction
(8)
I Density Approach for Credit Derivatives' Modeling
(14)
Enlargement of Filtrations
(16)
Introduction
(16)
Framework and preliminaries
(19)
Some measurability properties
(22)
Expectation and projection tools
(23)
Martingales' characterization
(27)
Canonical decomposition
(29)
General results
(30)
Results under E-hypothesis
(31)
Comparing with Yor's results
(35)
Predictable representation theorems
(36)
Girsanov's theorem
(42)
Some statements about H-hypothesis
(46)
Multidimensional case
(48)
Conclusion
(51)
Construction of Density Models
(52)
Introduction and Preliminaries
(52)
Conditional law of a random variable
(57)
A Gaussian example
(57)
A Gamma example
(58)
Change of probability
(59)
Cox construction and generalization
(61)
Canonical Cox construction
(61)
Generalized Cox construction
(62)
Convexity construction
(64)
Filtering-based examples
(69)
Starting from a survival process
(75)
Multidimensional models
(77)
Conclusion
(80)
Hedging Credit Derivatives in the Density Approach
(82)
Introduction
(82)
Hedging defaultable zero coupon bonds
(83)
Hedging a CDO tranche with CDSs
(88)
Model
(89)
Decomposition of H-martingales
(90)
Dynamics of price processes
(93)
Hedging Portfolio
(96)
General case
(98)
Conclusion
(101)
II Counterparty Risk on a CDS
(104)
A Markov Chain Model with Joint Defaults
(106)
Introduction
(106)
Counterparty Credit Risk
(107)
A Markov Copula Approach
(107)
General Set-Up
(108)
Cash Flows
(108)
Pricing
(110)
Special Case G=H
(113)
Markov Copula Factor Set-Up
(114)
Factor Process Model
(114)
Pricing
(118)
Hedging
(122)
Implementation
(124)
Affine Intensities Model Specification
(124)
Numerical Results
(126)
Concluding Remarks and Perspectives
(133)
Valuation and Hedging of Counterparty Exposure: the Impact of Stochastic Spreads
(135)
Introduction
(135)
Cash Flows and Pricing in a General Set-Up
(136)
Model
(138)
Pricing
(140)
Hedging of Counterparty Exposure
(143)
Dynamics of Cumulative CVA
(144)
Hedging of CVA
(146)
Model Implementation
(149)
Marginals
(150)
Joint Defaults
(151)
Calibration
(151)
A Variant of the Model with Extended CIR Intensities
(152)
Implementation
(154)
Numerical Results
(156)
Calibration to Market Data
(157)
CVA Stylized Features
(162)
Case of a Low-Risk Reference Entity
(163)
Spread Options Implied Volatilities
(163)
Conclusions
(164)
Proof of Proposition 4.3
(168)
Generalized CIR processes
(171)
Bibliography
(173)
