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Pricing Des Credit Default Swaps

Name: Pricing Des Credit Default Swaps
Brand: Omniscriptum
SKU: 09192701
Price: 31.7 EUR
Availability: InStock
Author: El Haidouri-R
ISBN: 9783841744128

El Haidouri-R

Language

French

Book Paperback

Libristo code: 09192701

Publishers Omniscriptum, February 2018

Ces derničres années, le monde de la finance a connu de multiples crises qui ont pu marquer l'histoi... Full description

Libristo code: 09192701

78 b

31.70 €

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Ces derničres années, le monde de la finance a connu de multiples crises qui ont pu marquer l'histoire, entrainant des faillites en chaînes et la débâcle de plusieurs entreprises de renom. Ces crises ont poussé les différents établissements financiers ŕ manager diligemment leur risque de crédit. Ainsi pour estimer ce dernier, plusieurs instruments de transfert de risque ont été développés, parmi lesquels, on trouve les Credit Default Swaps . Mon projet s'inscrit dans ce cadre et consiste ŕ réaliser le pricing des Credit Default Swaps. Deux approches seront ainsi étudiées, l'une dite approche en calibration, qui se base sur les spreads observables sur les marchés pauvres, et l'autre dite approche en interpolation reposant sur des spreads observables sur les marchés riches.