| Credit risk, being the risk one runs on outstanding credit, is as old as people have been doing business. However, recently there has been a renewed interest in credit risk, mainly induced by the guidelines in the new BASEL II accord and the booming market in credit derivatives. How to price the different risk factors driving corporate and sovereign credit risk for individual (or single name) instruments have always been relevant questions that are still not completely solved. How to price and risk manage multi-name instruments or portfolios of instruments is a completely different question that is still largely open. My Ph.D. thesis aims to generate more insight in the aforementioned problems using mathematical and statistical tools. |
