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Thesis

Numerical methods for structural credit models with mutual liabilities

Abstract:

In this thesis, we study a structural default model of an interconnected banking system with mutual liabilities. We develop novel numerical and analytical methods for the computation of important characteristics of the model and assess their impact on counterparty credit risk. First, we study the case when the banks’ asset values follow a pure diffusion process and develop analytical and semi-analytical methods for default probabilities, which are the first of their kind in the three-dimen...

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Role:
Supervisor
Role:
Supervisor
Role:
Supervisor
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
University of Oxford

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