Title

Credit risk management models

Date of Publication

2013

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Mathematics with specialization in Business Applications

Subject Categories

Physical Sciences and Mathematics

College

College of Science

Department/Unit

Mathematics and Statistics Department

Thesis Adviser

Kristine Joy E. Carpio

Defense Panel Chair

Regina M. Tresvalles

Defense Panel Member

Francis, Joseph H. Campena
Robert Neil F. Leong

Abstract/Summary

One of the main goals of financial institutions is to minimize risk because it is directly related to their profitability and performance. In the business of lending and trading, there is always a risk for counterparties and associates to default on their debts. This thesis is an exposition of some mathematical models used for managing credit risk. These include the Black-Scholes model (1973) and the Merton model (1974) which use the capital structure of firms (i.e. assets and liabilities) as default indicators. Threshold models will also be discussed in this thesis. In contrast to the first two models mentioned, the threshold models are not limited to a firm's assets and liabilities, but include more state variables and economic factors as indicators for default.

Abstract Format

html

Language

English

Format

Electronic

Accession Number

CDTU021081

Shelf Location

Archives, The Learning Commons, 12F, Henry Sy Sr. Hall

Physical Description

1 disc ; 4 3/4 inch

Keywords

Business enterprises--Finance; Risk management; Income; Credit

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