Modeli kreditnog rizika temeljeni na intenzitetu

master's thesis

• Title (english): Intensity-based credit risk models
• Author: Ana Marija Krizman
• Mentor: Vanja Wagner (mentor)
• Committee member: Vanja Wagner (predsjednik povjerenstva)
• Committee member: Bojan Basrak (član povjerenstva)
• Committee member: Marko Tadić (član povjerenstva)
• Committee member: Igor Ciganović (član povjerenstva)
• Granter: University of Zagreb; Faculty of Science; (Department of Mathematics); Zagreb
• Defense date and country: 2021-03-05, Croatia
• Scientific / art field, discipline and subdiscipline: NATURAL SCIENCES; Mathematics

Abstract

Kreditnim događajem smatramo bilo koji slučajni događaj čija pojava utječe na mogućnost jedne od ugovornih strana da ispuni svoje obveze određene ugovorom. Događaj defaulta ili neispunjenja ugovornih obveza jedan je od kreditnih događaja, te predstavlja veliki rizik za ugovornu stranu koja svoj novac posuđuje drugoj ugovornoj strani uz određene uvjete te se zbog toga velika pažnja pridaje modeliranju kreditnog rizika, odnosno modeliranju slučajnog vremena kada se neispunjenje ugovornih obveza dogodi. Za modeliranje kreditnog rizika razvijeno je više vrsta modela, od kojih mi proučavamo vrstu koja je temeljena na intenzitetu. Kod modela kreditnog rizika temeljenih na intenzitetu imovina poduzeća te njena kapitalna struktura se ne modeliraju, a vrijeme neispunjenja ugovornih obveza modelirano je kao potpuno nepristupačno vrijeme zaustavljanja čija je distribucija određena intenzitetom, odnosno stopom hazarda koja može biti deterministička funkcija ili slučajni proces. Ovisno o tome je li intenzitet deterministički ili slučajni, vrijeme neispunjenja ugovornih obveza se modelira kao prvi skok u Poissonovom ili Coxovom procesu. Jedan od načina zaštite od kreditnog rizika su zamjene kreditnog rizika (CDS). To su kreditni derivati koji pružaju zaštitu od kreditnih događaja koji mogu dovesti do gubitka na način da ugovornoj strani koja je kupila zamjenu kreditnog rizika jamče isplatu, odnosno pokriće gubitka u slučaju neispunjenja ugovornih obveza druge ugovorne strane u zamjenu za plaćanje dogovorenog iznosa za sve vrijeme važenja CDS-a (do dospijeća ili neispunjenja ugovornih obveza).

Abstract (english)

A credit event is considered to be any event whose occurrence might affect the ability of a counterparty in a financial contract to fulfill their contractual obligations. Default is one of the credit events and it represents significant risk for the counterparty that is borrowing their funds under agreed upon terms and, therefore, great significance is paid to modeling of credit risk, i.e. modeling stochastic time of default. There are a few credit risk models available, out of which we base ourselves on introducing intensity-based credit risk models. In this approach, the value of the company’s assets and its capital structure are not modeled, and the time of default is modeled as totally inaccessible stopping time whose distribution is defined by intensity, or the hazard rate which can be a deterministic function or a stochastic process. Depending on the fact if the intensity is deterministic or stochastic, time of default is modeled as the first jump of a Poisson or a Cox process. One of the means of protection from credit risk are credit default swaps (CDS). Credit default swaps are credit derivatives that offer protection from credit event that could lead to losses. They guarantee pay-off to the counterparty in the amount close to the nominal value of the contract in case default occurs, in exchange for constant payments until the maturity or default.

• Keywords: kreditni događaj; kreditni rizik; deterministička funkcija; slučajni proces; Poissonov proces; Coxov proces
• Keywords (english): credit event; credit risk; deterministic function; stochastic process; Poisson process; Cox process
• Language: croatian
• URN:NBN: urn:nbn:hr:217:687616
• 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: 2021-03-25 11:31:35