On the pricing and hedging of credit risk in incomplete markets:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | German |
| Veröffentlicht: |
2000
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | IV, 156 S. graph. Darst. |
Internformat
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| 245 | 1 | 0 | |a On the pricing and hedging of credit risk in incomplete markets |c vorgelegt von Christopher Markus Jürgen Lotz |
| 264 | 1 | |c 2000 | |
| 300 | |a IV, 156 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 502 | |a Bonn, Univ., Diss., 2000 | ||
| 650 | 4 | |a Kreditrisiko / Optionspreistheorie / Hedging / Kapitalmarkttheorie / Stochastischer Prozess / Unvollkommener Markt / Theorie | |
| 650 | 0 | 7 | |a Kreditrisiko |0 (DE-588)4114309-7 |2 gnd |9 rswk-swf |
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| 650 | 0 | 7 | |a Ausfallrisiko |0 (DE-588)4205942-2 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Bewertung |0 (DE-588)4006340-9 |2 gnd |9 rswk-swf |
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| 689 | 0 | 0 | |a Kreditmarkt |0 (DE-588)4073788-3 |D s |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-009025939 | ||
Datensatz im Suchindex
| _version_ | 1804128004945739776 |
|---|---|
| adam_text | Contents
1 Introduction 1
2 Literature Survey on Credit Risk 3
2.1 Introduction 3
2.2 Empirical Evidence from Aggregate Data 4
2.2.1 Credit Spreads 5
2.2.2 Default Rates 14
2.2.3 Ratings and Rating Changes 18
2.2.4 Summary 18
2.3 Theoretical Models 19
2.3.1 Structural (Firm Value) Approach 20
2.3.2 First Passage Time Specification 23
2.3.3 Reduced Form (Hazard Rate) Approach 27
2.3.4 Empirical Comparison between Firm Value and
Hazard Rate Approach 32
2.3.5 Hybrid Models 32
2.3.6 Markov Chain Approach 36
2.3.7 Application to Swaps 37
2.3.8 Default Correlation 41
2.3.9 Summary 42
2.4 Conclusion 43
3 Local Minimization of Credit Risk 45
3.1 Introduction 45
3.2 The Bond Market 46
3.2.1 Mathematical Setup 47
3.2.2 Setup of the Bond Market 48
3.2.3 Absence of arbitrage and existence of martingale measures 52
3.2.4 Completeness and uniqueness of martingale measures 55
i
3.2.5 Incompleteness and local risk minimization 56
3.3 Valuation and hedging of defaultable bonds 59
3.3.1 Traded assets 59
3.3.2 The minimal martingale measure 60
3.3.3 Modelling a defaultable bond 61
3.3.4 The forward measure 62
3.3.5 Pricing with constant payoff and stochastic intensity 64
3.3.6 Pricing with stochastic payoff and deterministic intensity 70
3.3.7 Hedging 74
3.4 Valuation and hedging of options on defaultable bonds 77
3.4.1 Traded assets 78
3.4.2 Partial differential equations 81
3.5 Conclusion 84
3.6 Proofs 85
3.7 Figures 92
4 Optimal Shortfall Hedging of Credit Risk 102
4.1 Introduction l02
4.2 Mathematical Setup 104
4.2.1 The Market 104
4.2.2 Shortfall Hedging with the Neyrnan Pearson Lemma 107
4.3 Complete Markets ll:1
4.3.1 The Optimal Shortfall Hedge for a given Initial Investment I13
4.3.2 The Optimal Hedge for a given Shortfall Probability or Expected
Shortfall I15
4.3.3 Example *17
4.3.4 Discussion ^
4.4 Incomplete Markets
4.4.1 Unknown Default Risk Premium 123
4.4.2 Rating Change l26
4.5 Conclusion °
4.6 Proofs l30
4.7 Figures I3
5 Conclusion 145
6 References 147
ii
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| indexdate | 2024-07-09T18:42:21Z |
| institution | BVB |
| language | German |
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| physical | IV, 156 S. graph. Darst. |
| publishDate | 2000 |
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| spelling | Lotz, Christopher Markus Jürgen Verfasser aut On the pricing and hedging of credit risk in incomplete markets vorgelegt von Christopher Markus Jürgen Lotz 2000 IV, 156 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Bonn, Univ., Diss., 2000 Kreditrisiko / Optionspreistheorie / Hedging / Kapitalmarkttheorie / Stochastischer Prozess / Unvollkommener Markt / Theorie Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Unvollkommener Kreditmarkt (DE-588)4128333-8 gnd rswk-swf Ausfallrisiko (DE-588)4205942-2 gnd rswk-swf Bewertung (DE-588)4006340-9 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Unvollkommener Markt (DE-588)4062060-8 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kreditmarkt (DE-588)4073788-3 s Unvollkommener Markt (DE-588)4062060-8 s Ausfallrisiko (DE-588)4205942-2 s Risikomanagement (DE-588)4121590-4 s DE-604 Unvollkommener Kreditmarkt (DE-588)4128333-8 s Kreditrisiko (DE-588)4114309-7 s Bewertung (DE-588)4006340-9 s DE-188 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009025939&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Lotz, Christopher Markus Jürgen On the pricing and hedging of credit risk in incomplete markets Kreditrisiko / Optionspreistheorie / Hedging / Kapitalmarkttheorie / Stochastischer Prozess / Unvollkommener Markt / Theorie Kreditrisiko (DE-588)4114309-7 gnd Unvollkommener Kreditmarkt (DE-588)4128333-8 gnd Ausfallrisiko (DE-588)4205942-2 gnd Bewertung (DE-588)4006340-9 gnd Kreditmarkt (DE-588)4073788-3 gnd Unvollkommener Markt (DE-588)4062060-8 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4114309-7 (DE-588)4128333-8 (DE-588)4205942-2 (DE-588)4006340-9 (DE-588)4073788-3 (DE-588)4062060-8 (DE-588)4121590-4 (DE-588)4113937-9 |
| title | On the pricing and hedging of credit risk in incomplete markets |
| title_auth | On the pricing and hedging of credit risk in incomplete markets |
| title_exact_search | On the pricing and hedging of credit risk in incomplete markets |
| title_full | On the pricing and hedging of credit risk in incomplete markets vorgelegt von Christopher Markus Jürgen Lotz |
| title_fullStr | On the pricing and hedging of credit risk in incomplete markets vorgelegt von Christopher Markus Jürgen Lotz |
| title_full_unstemmed | On the pricing and hedging of credit risk in incomplete markets vorgelegt von Christopher Markus Jürgen Lotz |
| title_short | On the pricing and hedging of credit risk in incomplete markets |
| title_sort | on the pricing and hedging of credit risk in incomplete markets |
| topic | Kreditrisiko / Optionspreistheorie / Hedging / Kapitalmarkttheorie / Stochastischer Prozess / Unvollkommener Markt / Theorie Kreditrisiko (DE-588)4114309-7 gnd Unvollkommener Kreditmarkt (DE-588)4128333-8 gnd Ausfallrisiko (DE-588)4205942-2 gnd Bewertung (DE-588)4006340-9 gnd Kreditmarkt (DE-588)4073788-3 gnd Unvollkommener Markt (DE-588)4062060-8 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Kreditrisiko / Optionspreistheorie / Hedging / Kapitalmarkttheorie / Stochastischer Prozess / Unvollkommener Markt / Theorie Kreditrisiko Unvollkommener Kreditmarkt Ausfallrisiko Bewertung Kreditmarkt Unvollkommener Markt Risikomanagement Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009025939&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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