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Credit Derivatives Rating and Pricing Models: the Credit Crisis and Beyond

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Title Credit Derivatives Rating and Pricing Models: the Credit Crisis and Beyond
Period 12 / 2010 - 02 / 2014
Status Current
Dissertation Yes
Research number OND1340940
Data Supplier NWO

Abstract

Credit derivative instruments have been at the center of the financial crisis. Dramatic losses and downgrades of these instruments call for new research on modeling, rating and pricing structured products. The project takes a comprehensive approach that starts with analyzing the main shortcomings of the existing credit derivatives models, then studies risk profiles of structured products, and finally explores possible extensions that would significantly improve the models by incorporating the complex relations between their key parameters. The aim is also to propose enhancements of rating methodologies that would account for distinctive risk characteristics of credit derivatives.

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Supervisor Prof.dr. A.C.F. Vorst
Co-supervisor Dr. S.A. Borovkova
Doctoral/PhD student Mr. M.P. Wojtowicz

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