Valuation of credit risky contingent claims:
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
1997
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | VII, 121 S. graph. Darst. |
Internformat
MARC
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| 245 | 1 | 0 | |a Valuation of credit risky contingent claims |c vorgelegt von Marc Henn |
| 264 | 1 | |c 1997 | |
| 300 | |a VII, 121 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 502 | |a St. Gallen, Univ., Diss., 1997 | ||
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Datensatz im Suchindex
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| adam_text | Contents
Introduction 1
1 Literature Review 3
1.1 Fundamentals in Asset Valuation 3
1.2 Spot Rate Models 6
1.3 Bond Price Models 9
1.3.1 The HJM Model 9
1.4 Some Special Term Structure Models of HJM Type 12
1.4.1 The Continuous Time Ho/Lee Model 12
1.4.2 The Term Structure Consistent Vasicek Model 15
1.4.3 The Proportional Model IS
1.5 Empirical Studies on Term Structure Models 22
1.6 Summary 23
2 Implementation of Some HJM Type Models 25
2.1 Data 2(i
2.2 The Default Free Term Structure 26
2.2.1 Some Remarks on B Splines 2 i
2.2.2 Estimation of the Zero Curve 27
2.3 Estimation of the Volatility Structure 31
2.3.1 Historical Estimation by Principal Component Analysis 32
2.3.2 Historical Estimation by Nonlinear Regression 35
2.1 An Application for Option Pricing 3^
2.5 Summary IT
1
II CONTENTS 3 Valuation of Credit Risky Contingent Claims 49
3.1 Literature Review 49
3.2 Three Credit Risk Models 50
3.2.1 The Time Homogeneous Markov Chain Model 51
3.2.2 The Time Inhomogeneous Markov Chain Model 54
3.2.3 The Cox Process Model 56
3.3 Other Market Features 58
4 Implementation of Some Credit Risk Models 59
4.1 Data 60
4.2 Elimination of Arbitrage Opportunities 61
4.3 The Time Homogeneous Markov Chain Model 64
4.3.1 Estimation of the Generator Matrix 64
4.3.2 Estimation of the Recovery Rate and Risk Premia 66
4.3.3 Option Pricing in the Time Homogeneous Markov Chain Model . . 76
4.4 The Time Inhomogeneous Markov Chain Model 80
4.4.1 Estimation of the Generator Matrix 82
4.4.2 Historical Recovery Rates and Risk Premia 85
4.4.3 Implicit Estimation of the Recovery Rate 92
4.1.4 Option Pricing in the Time Inhomogeneous Markov Chain Model . 96
1.5 The Cox Process Model 103
4.5.1 Estimation of the Hazard Rate 103
1.5.2 Historical Recovery Rates and the Risk Premium 10(i
1.5.3 Option Pricing in the Cox Process Model
1.6 Conclusions 115
References 117
List of Tables
1.1 Parameter Specifications for Different Spot Hate Models T
2.1 Explained Variance of Relative Forward Hate Changes for Different Periods :{.
2.2 Estimates of the Ho/Lee Model :«i
2M Estimates of the Vasicek Model M)
2.1 Explained Variance of Absolute Forward Rate Changes for Different Periods :S7
2.5 One Year Option Prices for Different Numbers of Time Steps . 39
2.6 Two Year Option Prices for Different Numbers of Time Steps V.)
2.7 Three Year Option Prices for Different Numbers of Time Steps 10
2.8 Call Prices for the Ho/Lee. Vasicek and Proportional Models l(i
1.1 Mean Absolute Approximation Error for the Constrained and I liron
strained Procedure (i i
1.2 (ienerator Matrix ( 1
. One Year Transition Matrix (».
1.1 One Year Transition Matrix from Standards Poor s (1981 1991) ( 5
1.. ) Recovery Rates and Seniority of Debt (i7
4.fi Implicit Recovery Rates with Mean Absolute Error (MAE) (is
1.7 Estimated Risk Premia on 12/91 ft)
1.8 Gau.ssiani. THM Model Option Prices for Different Classes 7s
1.9 Proportionali THM Model Option Prices for Different Classes NO
1.10 Estimates of the Multiplicative Factor of the General or Matrix in the Till VI
Model *:j
1.11 Risk Premia with Minimal MAE Historical Recovery Rate S
4.12 Implicit Recovery Rates with Minimal MAE 92
l.KS Hazard Rate Parameters for Cox Process Model Kit
4.14 Optimal Risk Premia with Minimal VIAE ION
III
List of Figures
1.1 Probability of Negative Forward Rates in the Ho/Lee Model 14
1.2 Forward Rate Curves in the Ho/Lee Model 14
1.3 Probability of Negative Forward Rates in the Vasicek Model 17
1.1 Forward Rate Curves in the Vasirek Model 17
2.1 Example of a Spline constructed from a set of B splines 28
2.2 Default Free Zero Curves from 1/84 3/94 30
2.3 Average Approximation Error of the Spline Approximation 30
2.4 Historical Volatility Functions of Relative Forward Rate Changes Smoothed 34
2.5 Historical Volatility Function of Absolute Forward Rate Changes Smoothed 38
2.6 Histogram of Discounted Option Payoffs at One Year Maturity 42
2.7 Histogram of Discounted Option Payoffs at Two Year Maturity 13
2.8 Cumulative Distribution of Discounted Option Payoffs at Maturity 41
2.9 Discounted Option Payoff at the Final Nodes of the Tree 45
4.1 Unadjusted Credit Risky Zero Curves 8/92 62
4.2 Adjusted Credit Risky Zero Curves 8/92 63
4.3 Probability of Default for Classes AAA B 66
4.4 MAE dependent on the Recovery Rate for AAA A 69
1.5 MAK dependent on the Recovery Rate for BBB B 70
4.6 Theoretical and Empirical Zero Curves for Class AAA 70
4.7 Theoretical and Empirical Zero Curves for Class AA 71
4.8 Theoretical and Empirical Zero Curves for Class A 71
1.9 Theoretical and Empirical Zero Curves for Class BBB 72
V
VI LIST OF FIGURES ___
4.10 Theoretical and Empirical Zero Curves for Class BB 72
4.11 Theoretical and Empirical Zero Curves for Class B 3
4.12 Forward Rate Spreads under the Martingale Measure 74
4.13 Forward Rate Spreads under the Empirical Measure
4.14 Probability of Default for all Classes 84
4.15 Probability of Default for all Classes 84
4.16 MAE for Different Risk Premia 88
4.17 Theoretical and Empirical Zero Curves for Class AAA Historical Recovery
Rate 89
4.18 Theoretical and Empirical Zero Curves for Class A A Historical Recovery
Rate 89
4.19 Theoretical and Empirical Zero Curves for Class A Historical Recovery
Rate 90
4.20 Theoretical and Empirical Zero Curves for Class BBB Historical Recovery
Rate 90
4.21 Theoretical and Empirical Zero Curves for Class BB Historical Recovery
Rate 91
4.22 Theoretical and Empirical Zero Curves for Class B Historical Recovery
Rate 91
1.23 Mean Absolute Error for Different Recovery Rates in TIHM 93
4.24 Theoretical and Empirical Zero Curves for Class AAA Implied Recovery
Rate 93
4.25 Theoretical and Empirical Zero Curves for Class AA Implied Recovery
Rate 94
4.26 Theoretical and Empirical Zero Curves for Class A Implied Recovery Rate 94
4.27 Theoretical and Empirical Zero Curves for Class BBB Implied Recovery
Rate 95
4.28 Theoretical and Empirical Zero Curves for Class BB Implied Recovery Rate 9o
1.29 Theoretical and Empirical Zero Curves for Class B Implied Recovery Rate 96
4.30 ProportionakfcTIHM Model k Implicit Recovery Rates Time Value of
Credit Risky Bond Options 101
4.31 Proportional^ l IUM Model k Historical Recovery Rates Time Value of
Credit Risky Bond Options 102
LIST OF FIGURES VII
1.32 MLE (AA), Observed Default Rate (AA). Spot Rate 105
4.33 MLE (BB), Observed Default Rate (BIS). Spot Rate 105
t.34 MLK (B). Observed Default Rate (B). Spot Rate l()(i
1.35 MAE without Risk Premium 107
4.36 MAE for Different Risk Premia 1 OS
1.37 Theoretical and Empirical Zero Curves for Class AAA Historical Recovery
Rate 10!)
1.3S Theoretical and Empirical Zero Curves for Class AA Historical Recovery
Kate l()!l
1.39 Theoretical and Empirical Zero Curves for Class A Historical Recovery
Rate 110
4.40 Theoretical and Empirical Zero Curves for Class BBB Historical Recovery
Rate 110
4.41 Theoretical arid Empirical Zero Curves for Class BB Historical Recovery
Rate Ill
1.12 Theoretical and Empirical Zero Curves for Class B Historical Recovery
Rate Ill
4.43 Proportional k. Cox Model ,V Historical Recovery Rates Time Value of
Credit Risky Bond Options Ill
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| indexdate | 2024-07-09T18:08:23Z |
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| language | English |
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| physical | VII, 121 S. graph. Darst. |
| publishDate | 1997 |
| publishDateSearch | 1997 |
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| spelling | Henn, Marc Verfasser aut Valuation of credit risky contingent claims vorgelegt von Marc Henn 1997 VII, 121 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier St. Gallen, Univ., Diss., 1997 Kreditderivat (DE-588)7660453-6 gnd rswk-swf Bewertung (DE-588)4006340-9 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kreditderivat (DE-588)7660453-6 s Bewertung (DE-588)4006340-9 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007632304&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Henn, Marc Valuation of credit risky contingent claims Kreditderivat (DE-588)7660453-6 gnd Bewertung (DE-588)4006340-9 gnd |
| subject_GND | (DE-588)7660453-6 (DE-588)4006340-9 (DE-588)4113937-9 |
| title | Valuation of credit risky contingent claims |
| title_auth | Valuation of credit risky contingent claims |
| title_exact_search | Valuation of credit risky contingent claims |
| title_full | Valuation of credit risky contingent claims vorgelegt von Marc Henn |
| title_fullStr | Valuation of credit risky contingent claims vorgelegt von Marc Henn |
| title_full_unstemmed | Valuation of credit risky contingent claims vorgelegt von Marc Henn |
| title_short | Valuation of credit risky contingent claims |
| title_sort | valuation of credit risky contingent claims |
| topic | Kreditderivat (DE-588)7660453-6 gnd Bewertung (DE-588)4006340-9 gnd |
| topic_facet | Kreditderivat Bewertung Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007632304&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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