Sensitivity Analysis of Credit Risk Models Based on Greeks

被引：16

作者：

Kliestik, Tomas ^{[1
]}

Misankova, Maria ^{[1
]}

Adamko, Peter ^{[2
]}

机构：

[1] Univ Zilina, Fac Operat & Econ Transport & Commun, Dept Econ, Zilina 01026, Slovakia

[2] Univ Zilina, Fac Operat & Econ Transport & Commun, Dept Quantitat Methods & Econ Informat, Zilina 01026, Slovakia

来源：

2014 2ND INTERNATIONAL CONFERENCE ON MANAGEMENT INNOVATION AND BUSINESS INNOVATION (ICMIBI 2014) | 2014年 / 44卷

关键词：

Credit risk; Greeks; Sensitivity; Analysis; Option;

D O I：

10.5729/lnms.vol44.99

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Credit risk models was established by Merton in 1974 who based his modeling of the probability of default event on the option pricing model of Black and Scholes (1973). Through this model can be calculated fair price of the option so investors can decide. The article deals with the theoretic base of Black and Scholes option pricing theory and then is presented sensitivity analysis of credit risk models, specifically structural approach of credit risk modeling, calculated through the use of Greeks. At the end of the article are shown graphs and results of this sensitivity analysis.

引用

页码：99 / 104

页数：6

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