Correlations Problems in Financial Risk Management
Project goals
The project will deal with the models of correlation between interest rate and credit risk and with their sensitivity analysis with respect to input parameters. We will generalize existing models. The generalization will be done in two directions. The first direction will be devoted to modeling of the random part of the interest rate and credit spread when more general processes (for example some types of Levy processes) than Wiener process are used. The second direction will lead to an application ofcopulas capturing nonlinear correlations. Both of these generalizations will be applied to pricing models, which may be used by financial institutions in financial risk management. The macroeconomic part of the project will further develop Kodera and Málek (2007) results on applications of dynamic IS-LM model. Since the models are deterministic, we expect the probability of default to be a function of interest rates and other variables.
Keywords
korelaceúrokové rizikokreditní rizikokreditní derivátykorporativní dluhopisyCDO
Public support
Provider
Czech Science Foundation
Programme
Standard projects
Call for proposals
Standardní projekty 12 (SGA02009GA-ST)
Main participants
—
Contest type
VS - Public tender
Contract ID
402/09/0380
Alternative language
Project name in Czech
Problémy korelace v řízení finančních rizik
Annotation in Czech
Dynamické modelování korelovaných procesů úrokové míry a kreditního spreadu a dopady na hodnotu bankovního portfolia Oceňování firemních bondů, půjček a tranší v CDO při korelaci úrokové míry a pravděpodobnosti defaultu Makroekonomické dopady korelace ÚRa KR, důsledky asymetrické informace
Scientific branches
Completed project evaluation
Provider evaluation
U - Uspěl podle zadání (s publikovanými či patentovanými výsledky atd.)
Project results evaluation
The project gone according to plan both in terms of expertise and in terms of disbursement of funds.
Solution timeline
Realization period - beginning
Jan 1, 2009
Realization period - end
Dec 31, 2011
Project status
U - Finished project
Latest support payment
Apr 16, 2011
Data delivery to CEP
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data delivery code
CEP12-GA0-GA-U/02:2
Data delivery date
May 2, 2016
Finance
Total approved costs
2,275 thou. CZK
Public financial support
2,275 thou. CZK
Other public sources
0 thou. CZK
Non public and foreign sources
0 thou. CZK
Basic information
Recognised costs
2 275 CZK thou.
Public support
2 275 CZK thou.
100%
Provider
Czech Science Foundation
CEP
AH - Economics
Solution period
01. 01. 2009 - 31. 12. 2011