Mathematics and Credit Risk


Type Research Project

Funding Bodies
  • Vienna Science and Technology Fund

Duration May 1, 2005 - April 30, 2009

  • Bank Administration AE (Former organization)

Tags

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  • Pichler, Stefan (Details) Project Head
  • Summer, Christopher (Former researcher)
  • Veza, Tanja (Details)
 

Abstract (German)

Die Methoden der stochastischen Finanzmathematik sollen verstärkt für das Management von Kreditrisken eingesetzt werden - mit dem Stichwort Basel II ein sehr relevantes Thema. Verschiedene Aspekte des Risiko-Managements im Kreditbereich sollen mathematisch modelliert werden und durch die interdisziplinäre Zusammensetzung des Projektteams sollen diese Modelle auch in die praktische Umsetzung gelangen. Mittelfristige Anwendungen werden insbesondere für das optimale Design von Kredit-Derivativen erwartet.


Abstract (English)

The project is aimed to bring together models and methods from mathematical finance with real world applications in the field of credit risk and bank management. Major concepts of mathematical finance like no-arbitrage theory and utility maximization which proved to be successful in the evaluation of derivative securities have to be extended and new models have to be developed to meet the requirements of the rapidly growing area of credit risk management. The project will focus on fundamental questions like optimal risk transfer and contract design in incomplete markets as well as on more applied questions like dependent defaults, affine credit spread modeling, valuation of credit derivatives, among others. The composition of the team of applied researchers is aimed to bring theoretical innovations to real-world implementations within the duration of this project.

Partners

  • Institut für Mathematik - Austria
  • Institut für Wirtschaftsmathematik - Austria

Publications

Journal article

2008 Jankowitsch, Rainer, Pullirsch, Rainer, Veza, Tanja. 2008. The Delivery Option in Credit Default Swaps. Journal of Banking and Finance 32 (7): 1269-1285. (Details)

Paper presented at an academic conference or symposium

2007 Jankowitsch, Rainer, Pullirsch, Rainer, Veza, Tanja. 2007. The Delivery Option in Credit Default Swaps. 5th Infiniti Conference on International Finance, Dublin, Irland, 11.06.-12.06. (Details)
2006 Jankowitsch, Rainer, Pullirsch, Rainer, Veza, Tanja. 2006. Explaining the CDS Basis. Workshop on Credit Risk and Risk Transfer, Wien, Österreich, 25.01. (Details)
  Jankowitsch, Rainer, Pullirsch, Rainer, Veza, Tanja. 2006. The Delivery Option in Credit Default Swaps. EDEN Credit Risk Doctoral Tutorial, Venedig, Italien, 23.09. (Details)
  Jankowitsch, Rainer, Pullirsch, Rainer, Veza, Tanja. 2006. The Delivery Option in Credit Default Swaps. Northern Finance Association 2006 Conference, Montreal, Kanada, 16.09.-17.09. (Details)
  Hornik, Kurt, Jankowitsch, Rainer, Lingo, Manuel, Pichler, Stefan, Winkler, Gerhard. 2006. Validation of Credit Rating Systems Using Multi-Rater Information. 4th INFINITI Conference on International Finance, Dublin, Irland, 12. Juni 2006. (Details)
  Hornik, Kurt, Jankowitsch, Rainer, Lingo, Manuel, Pichler, Stefan, Winkler, Gerhard. 2006. Validation of Credit Rating-Systems Using Multi-Rater Information. Workshop on Credit Risk and Risk Transfer, Wien, Österreich, 25. Jänner 2006. (Details)

Working/discussion paper, preprint

2007 Dorfleitner, Gregor, Schneider, Paul, Veza, Tanja. 2007. Flexing the Default Barrier. (Details)
  Schneider, Paul, Sögner, Leopold, Veza, Tanja. 2007. The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk. (Details)
2006 Jankowitsch, Rainer, Pullirsch, Rainer, Veza, Tanja. 2006. The Delivery Option in Credit Default Swaps. (Details)

Classification

  • 5361 Financial management (Details)
  • 5360 Financial mathematics (Details)
  • 5305 Bank management (Details)

Expertise

  • Basel II
  • risk transfer
  • credit risk
  • mathematical finance
  • risk management
  • derivatives