Dissertation > Excellent graduate degree dissertation topics show

The Research of Some Problems on Default Risk

Author: WuChunJun
Tutor: ZhangJiZhou
School: Shanghai Normal University
Course: Applied Mathematics
Keywords: Default risk Corporate bonds Probability of default Kolmogrov Theorem Exchange rate risk PDE method
CLC: F830.9
Type: Master's thesis
Year: 2011
Downloads: 61
Quote: 0
Read: Download Dissertation

Abstract

As the financial markets become more prosperous, more and more financial derivative products have emerged, such as futures, options, mortgage loans, collateralized debt obligations, credit default swaps. While these financial instruments convenience, but also contains a lot of the risk of default. The global financial crisis in 2007 led to the collapse of many financial institutions, global recession, which makes people have a more profound understanding of the risk of default. [1] can not because of the crisis of Western investment banks, simply attack them capital leverage is too high, too risky financial instruments, we should correctly understand these financial instruments included in the default risk to use them. In recent years, China has introduced Call (Put) Warrants, personal foreign exchange options, margin and other financial instruments. Although very cautious, but you can see that the country is a positive attitude towards the introduction of these financial instruments. Correct understanding of the risk of default on a solid financial system, promote the healthy development of the financial sector is of great significance. The financial derivatives Almost have default risk, this paper is committed to a model of corporate bonds, the probability of default of individual housing loans and the default risk of foreign exchange financing products. First review the basic concepts of the risk of default in the first chapter describes the history of the development of the corporate bond pricing, individual housing loan default probability and default risk, foreign exchange financial products three types of research methods and problems at home and abroad; Chapter II the default risk of some of the basic concepts and knowledge. Chapter in the literature [2] and [3] on the basis of partial differential method (PDE) in interest rates obey Vasicek model, the company's assets follows a geometric Brown motion, the operating conditions of the Subsidiary B in different time periods The impact strength of different assumptions, the pricing of the bonds of parent company A breach of the bonds issued by the parent company of A double period with pricing and explicit expressions. Finally, an example calculation of the parent company, bond prices and interest rates, the relationship between interest rates and assets and recovery, and make the financial explained. In the fourth chapter, we are starting to study the probability of default of individual housing loans from the personal factors of current assets. , Depending on the specific repayment time point, the entire time period is divided into N sections. Under the assumptions in the personal current assets and housing prices obey geometric Brown motion, taking into account monthly the inadequate housing slump two of default, derived by Kolmogrov theorem, the probability of default of individual housing loans in time to meet the partial differential equation. Known by a probability of default as conditions to calculate a probability of default, and the recurrence formula satisfied by the probability of default. Finally, this chapter also pointed out that the probability of default model expectations in the calculation of the loan value, control the line of credit, and to calculate the capital adequacy ratio of the specific application. Chapter assumptions [6] based on interest rates obey the Vasicek model in country A, U.S. interest rates constant, partial differential method (PDE), proceeding from the perspectives of customer default and not default to calculate the Industrial and Commercial Bank of China \Finally, numerical calculation and analysis of the relationship between the initial value of the moment and the various parameters of the contract, and to make the corresponding financial interpretation. Concluded the full text of this article exists insufficient and development direction.

Related Dissertations

CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Financial market
© 2012 www.DissertationTopic.Net Mobile