<div class="csl-bib-body">
<div class="csl-entry">Schmöger, P. (2012). <i>Potential future exposure of path-dependent financial derivatives</i> [Diploma Thesis, Technische Universität Wien]. reposiTUm. http://hdl.handle.net/20.500.12708/160050</div>
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dc.identifier.uri
http://hdl.handle.net/20.500.12708/160050
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dc.description.abstract
Diese Masterarbeit beschäftigt sich mit der Berechnung und dem Vergleich verschiedener Maße für Credit Expsoure von pfadabhängigen Finanzderivaten. Dabei wird die Arbeit von Lomibao und Zhu [2005] herangezogen, um zukünftige Mark-to-Market Werte mit Hilfe der Brownschen Brücke zu berechnen. Einige pfadabhängigen Derivate werden dabei genauer unter die Lupe genommen, um deren Exposure Profile mittels Monte-Carlo Simulation zu berechnen.<br />
de
dc.description.abstract
This thesis is about calculating and comparing metrics for credit exposures of path-dependent financial derivatives, which are used to quantify counterparty credit risk. Thereby, the work of Lomibao and Zhu [2005] is taken as a basis for calculating future mark-to-market values, which includes the use of Brownian bridges to describe the evolution of underlying risk factors over time. Several path-dependent derivatives are examined in order to calculate their exposure profiles via scenario generation.
en
dc.language
English
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dc.language.iso
en
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dc.subject
Exposure
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dc.subject
pfadabhängige Finanzderivate
de
dc.subject
Brownsche Brücke
de
dc.subject
Black-Scholes Modell
de
dc.subject
exposure
en
dc.subject
path-dependent financial derivatives
en
dc.subject
Brownian bridge
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dc.subject
Black-Scholes model
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dc.title
Potential future exposure of path-dependent financial derivatives
