Okhrati, Ramin (2011) Credit Risk Modeling under Jump Processes and under a Risk Measure-Based Approach. PhD thesis, Concordia University.
This is the latest version of this item.
|PDF - Accepted Version|
Having a precise idea of how information is used is a key element in studying credit risk models. This concept plays an important role in structural and reduced form models and most recently in information based models. In this thesis the relationship between these models and the idea of information, more specifically through filtration expansions, is studied in depth. Special attention is given to the study of intensity processes under different types of filtration expansions.
Credit derivatives are path dependent financial products. Therefore their analysis is based on the history of the underlying risky process. If the underlying process is allowed to have jumps, then this analysis is more challenging. This explains why, normally, risk management techniques for these products assume that the underlying process is continuous, the derivative is path independent, or the probability measure is risk neutral. In our model, in the context of a locally risk-minimization approach, the problems of pricing and hedging of defaultable claims are discussed without imposing any of the above assumptions.
The impact of risk measures in financial markets can no longer be ignored. Considering this, a methodological procedure based on risk measures is developed to gauge the credit quality of defaultable bonds in real bond markets. Through this process a new type of indicator is introduced that can be useful to detect inconsistencies in bond markets. This can be helpful in market integration applications.
|Divisions:||Concordia University > Faculty of Arts and Science > Mathematics and Statistics|
|Item Type:||Thesis (PhD)|
|Degree Name:||Ph. D.|
|Date:||25 July 2011|
|Deposited By:||RAMIN OKHRATI|
|Deposited On:||22 Nov 2011 09:01|
|Last Modified:||22 Nov 2011 09:01|
Available Versions of this Item
- Credit Risk Modeling under Jump Processes and under a Risk Measure-Based Approach. (deposited 22 Nov 2011 09:01) [Currently Displayed]
Repository Staff Only: item control page