Login
- Dokumenttyp:
- Diplomarbeit
- Autor(en):
- Linezki, Denis
- Titel:
- Structural Credit-Risk Models
- Abstract:
- This thesis covers the most important representatives of structural credit-risk models which deal with pricing of bonds and credit derivatives. In order to evaluate a firm's default probability, this model class focuses exclusively on data which are specific to this firm. The following structural-default models are presented: Merton's pathbreaking model, the KMV approach marketed by Moody's, the model of Black & Cox, and finally, Zhou's jump-diffusion approach. All these models represent the paths in which research of structural-default models has moved over the last four decades. This work examines similarities and differences between the crucial structural credit-risk models. The main aim is to describe each model, its assumptions, and its key benefits and limits.
- Betreuer:
- Prof. Dr. Rudi Zagst
- Gutachter:
- Prof. Dr. Matthias Scherer
- Jahr:
- 2010
- Sprache:
- en
- Hochschule / Universität:
- Technische Universität München
- Fakultät:
- Fakultät für Mathematik
- Format:
- Text
BibTeX