Strukturalni modeli kreditnog rizika

master's thesis

• Title (english): Structural models of credit risk
• Author: Barbara Župić
• Mentor: Azra Tafro (mentor)
• Committee member: Azra Tafro (predsjednik povjerenstva)
• Committee member: Nikola Sandrić (član povjerenstva)
• Committee member: Rudi Mrazović (član povjerenstva)
• Committee member: Vjekoslav Kovač (član povjerenstva)
• Granter: University of Zagreb; Faculty of Science; (Department of Mathematics); Zagreb
• Defense date and country: 2021-09-21, Croatia
• Scientific / art field, discipline and subdiscipline: NATURAL SCIENCES; Mathematics

Abstract

Kreditni rizik je rizik neispunjavanja obaveza dužnika, a uz njega najčešće vežemo pojam defaulta, tj. neizvršenja novčanih obaveza. U ovom radu želimo pokazati kako procjenjujemo rizičnost dužnika, njegovo kretanje financijske imovine te vjerojatnost ulaska u default. Također, navodimo podjelu kreditnih modela na strukturalne i reducirane modele. Bavimo se strukturalnim modelima koji u fokus stavljaju vrijednost imovine poduzeća i pretpostavljaju da do defaulta dolazi kada vrijednost obaveza koje treba namiriti dosegne vrijednost imovine poduzeća. Predstavnik strukturalnih modela je Mertonov model koji se temelji na Black-Scholes- Mertonovom modelu pomoću kojeg smo odredili cijene financijske imovine. Kako Mertonov model ima jednostavnu strukturu, na kraju rada naveli smo i neka proširenja Mertonovog modela koja su nastala s ciljem da nadoknade nedostatke Mertonovog modela.

Abstract (english)

Credit risk is a risk that a counterparty will not meet obligations, and it is most often associated with the term of default. In this thesis, we want to show how we assess the risk of the counterparty, his movement of financial assets and the probability of entering the default. We also state the division of credit models into structural and reduced models. We study structural models that focus on the value of the firm’s assets and assume that the default occurs when the value of the obligation to be settled reaches the value of the firm’s assets. A representative of the structural models is the Merton model based on the Black-Scholes- Merton model by which we determine the prices of financial assets. As Merton’s model has a simple structure, at the end of the thesis we have listed some extensions of Merton’s model that were created in order to compensate for the shortcomings of Merton’s model.

• Keywords: pojam defaulta; neizvršenje novčanih obaveza; strukturalni kreditni modeli; reducirani kreditni modeli; Mertonov model; Black-Scholes- Mertonov model
• Keywords (english): term of default; structural credit models; reduced credit models; Merton model; Black-Scholes- Merton model
• Language: croatian
• URN:NBN: urn:nbn:hr:217:304825
• Study programme: Title: Finance and Business Mathematics; Study programme type: university; Study level: graduate; Academic / professional title: magistar/magistra matematike (magistar/magistra matematike)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Open access
• Created on: 2021-11-09 13:22:22