Financial asset pricing with default risk
4РП — Обучение и мобилност на изследователи
- Период
- 1998-02-01 → 2001-01-31
- Финансиране от ЕС
- —
- Участници
- 2
- Схема
- RGI
Линиите свързват координатора с партньорите. За проекти отпреди 2014 г. CORDIS не винаги дава точни координати. Тези точки са на ниво град или държава.
Накратко на български
Цените на финансови инструменти, като облигации на развиващи се пазари, се анализират при риск от неплатеж. Това помага на банките и инвестиционните институции да оценяват по-точно активите си и да управляват портфолиите си.
Кратко обяснение, генерирано от езиков модел по текста на CORDIS. Оригиналът е по-долу.
Цел на проекта
Research objectives and content The objective of the project is to build analytical tools to price securities subject to credit / default risk. Credit risk is particularly important for financial products issued by firms or governments in emerging capital markets. Most pricing models so far have been built, in default-free frameworks and are biased when the possibility of default is introduced: theoretical prices do not match observed prices. The project will start with a review of the current state-of-the-art and will then try to design analytically tractable models able to value financial instruments properly and to replicate the prices and behaviour of securities traded in financial markets. The project will aim at practical applicability of the formulae while being theoretically consistent. Training content (objective, benefit and expected impact) The project will have a high training content as it includes the writing of a PhD thesis in Economics. The course requires attendance to regular seminars, yearly presentations of advancement in research, and it enables students to follow some chosen lectures in any relevant field. Links with industry / industrial relevance (22) The project is very relevant to the banking industry and also to supranational institutions such as the EBRD or the EIB which invest in emerging financial markets. These institutions need tools to value securities with substantial default risk to manage their portfolios.
Оригинален текст от CORDIS (на английски).
Участници
Връзки
Данни: CORDIS, © Европейски съюз