Credit risk and how to manage it
Amato, Federico (A.A. 2022/2023) Credit risk and how to manage it. Tesi di Laurea in Mathematical finance, Luiss Guido Carli, relatore Sara Biagini, pp. 44. [Bachelor's Degree Thesis]
![[img]](http://tesi.luiss.it/style/images/fileicons/application_pdf.png) |
PDF (Full text)
Restricted to Registered users only Download (832kB) | Request a copy |
Abstract/Index
Credit risk components. Components of expected losses. Loss given default (LGD). Exposure at default. Probability of default. Unexpected losses. Securities and credit risk. Bonds. Credit default SWAPs (CDS). Survival function. Capital requirements. Basel I. Basel II. Basel III. Collateralized transactions. Credit risk models. Vasicel-Merton model. Brownian motion. Value at risk. Credit metrics and credit risk migration. Ito's lemma.
References
Bibliografia: pp. 43-44.
| Thesis Type: | Bachelor's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Bachelor's Degree Programs > Bachelor's Degree Program in Economics and Business, English language (L-33) |
| Chair: | Mathematical finance |
| Thesis Supervisor: | Biagini, Sara |
| Academic Year: | 2022/2023 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 06 Mar 2024 16:13 |
| Last Modified: | 06 Mar 2024 16:13 |
| URI: | https://tesi.luiss.it/id/eprint/38104 |
Downloads
Downloads per month over past year
Repository Staff Only
 |
View Item |
