The use of credit derivatives in the management of the bank's portfolio of debt instruments

Przemysław Noetzel

Abstract

The thesis describes the impact of derivative instruments on the results and risks of investing in portfolios of debt instruments. In the first chapter the origin of the product and the market for credit derivatives are described. This is followed by a detail characteristic of the products and a presentation of their valuation methods. In the second chapter the classical methods of portfolio management as well as the models currently used in banking practice are presented. These models can be divided into structural and reduced – in the thesis, CreditRisk +, Credit Metrics , Credit Portfolio View and KMV models are described as representatives of the two groups. The third chapter presents empirical studies based on the author's analysis of the results and the level of risk of two synthetic portfolios. It has been demonstrated that the use of credit derivatives reduces losses and the level of risk in the portfolio. The last chapter described the impact of credit derivatives on specific issues in the banking sector, including the methods and tools for managing the loan portfolio . Also discussed was the tactical importance of the described instruments to reduce the risk of coincidence and the risk of change.
Diploma typeDoctor of Philosophy
Author Przemysław Noetzel
Przemysław Noetzel,,
-
Title in EnglishThe use of credit derivatives in the management of the bank's portfolio of debt instruments
Languagepl polski
Certifying UnitFaculty of Management, Information Systems and Finance (MISaF)
Disciplinenauki o zarządzaniu / nauki ekonomiczne(nauki ekonomiczne) / nauki społeczne()
Defense Date05-12-2013
End date19-12-2013
Supervisor Krzysztof Jajuga (MISaF / IZF / KIFiZR)
Krzysztof Jajuga,,
- Katedra Inwestycji Finansowych i Zarządzania Ryzykiem

Internal reviewers Katarzyna Kuziak (MISaF / IZF / KIFiZR)
Katarzyna Kuziak,,
- Katedra Inwestycji Finansowych i Zarządzania Ryzykiem
External reviewers Jerzy Gwizdała
Jerzy Gwizdała,,
-
Pages201
Keywords in Englishcredit derivatives, portfolio management, risk
Abstract in EnglishThe thesis describes the impact of derivative instruments on the results and risks of investing in portfolios of debt instruments. In the first chapter the origin of the product and the market for credit derivatives are described. This is followed by a detail characteristic of the products and a presentation of their valuation methods. In the second chapter the classical methods of portfolio management as well as the models currently used in banking practice are presented. These models can be divided into structural and reduced – in the thesis, CreditRisk +, Credit Metrics , Credit Portfolio View and KMV models are described as representatives of the two groups. The third chapter presents empirical studies based on the author's analysis of the results and the level of risk of two synthetic portfolios. It has been demonstrated that the use of credit derivatives reduces losses and the level of risk in the portfolio. The last chapter described the impact of credit derivatives on specific issues in the banking sector, including the methods and tools for managing the loan portfolio . Also discussed was the tactical importance of the described instruments to reduce the risk of coincidence and the risk of change.
KBN classificationekonomia
Thesis file
Przemyslaw_Noetzel_praca_doktorska_wersja_1_1.pdf 7,37 MB
Other files
zal_2_12_opis_rozprawy_doktorskiej.pdf 35,07 KB

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