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Collections :	Ιδρυματικό Αποθετήριο ΟΠΑ / AUEB Institutional Repository Σχολή Επιστημών και Τεχνολογίας της Πληροφορίας / School of Informatics Τμήμα Στατιστικής / Department of Statistics Μεταπτυχιακές Εργασίες / Postgraduate dissertations

Title :	Credit risk modeling

Creator :	Palias, Efstratios

Contributor :	Yannacopoulos, Athanasios (Επιβλέπων καθηγητής) Athens University of Economics and Business, Department of Statistics (Degree granting institution)

Type :	Text

Extent :	74 σ.

Language :	en

Abstract :	In this thesis we conduct a study on the credit risk and attempt to build models to estimate the default probability of a bond as well as compute credit derivatives for the aforementioned risk.To obtain the data we used the simulation method with the help of the R program.

Subject :	Credit risk Credit derivatives Levy processes

Date Issued :	23-01-2017

Licence :

File: Palias_2017.pdf

Type: application/pdf