Libero Mangieri, Domenico (A.A. 2023/2024) Analysis of counterparty credit risk in the financial system and credit default swaps market. Tesi di Laurea in Mathematical finance, Luiss Guido Carli, relatore Sara Biagini, pp. 50. [Bachelor's Degree Thesis]

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Abstract/Index

Counterparty credit risk in the OTC market. Exposure of the OTC derivative market to counterparty risk. Distress dependence in the financial system and credit risk of financial institutions. The consistent information multivariate density optimizing methodology. Joint probability of distress and distress between specific institutions. The CIMDO copula function. The CIMDO copula: measuring distress dependence among institutions. Simulation of the empirical copula between two financial institutions. Counterparty risk in the credit default swaps market. Credit default swaps. CDS counterparty risk pricing. Collateral and central clearing. Wrong-way risk and counterparty choice.

References

Bibliografia: pp. 49-50.

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:	2023/2024
Session:	Summer
Deposited by:	Alessandro Perfetti
Date Deposited:	17 Oct 2024 09:53
Last Modified:	17 Oct 2024 09:53
URI:	https://tesi.luiss.it/id/eprint/40079

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