Canafoglia, Fabio
(2016)

*An Introduction to Credit Risk and Asset Pricing.*
[Laurea magistrale], Università di Bologna, Corso di Studio in

Matematica [LM-DM270]

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## Abstract

Into the Thesis, the author will try to give the basis of risk management and asset pricing. Both of them are fundamental elements to understand how the financial models work; this topic is judged important in the perspective of successive studies in financial math: having clear the starting point makes things easier. From the title it is clear that modern and more complex models will be only touched upon.
We decide to divide the dissertation in two different parts because, in our opinion, it is more evident that two different ways to approach at credit risk exist: on one side we try to quantify the risk deriving from giving credit, on the other we will establish a strategy that allows us to invest money with the aim to pay the other part of the agreement. Everything became more clear chapter by chapter. Financial institutions like banks are exposed at both of this type of risk.
Chapters 1 and 5 are the center of this thesis: they represent the zero point from which the modern models were originated.

Abstract

Into the Thesis, the author will try to give the basis of risk management and asset pricing. Both of them are fundamental elements to understand how the financial models work; this topic is judged important in the perspective of successive studies in financial math: having clear the starting point makes things easier. From the title it is clear that modern and more complex models will be only touched upon.
We decide to divide the dissertation in two different parts because, in our opinion, it is more evident that two different ways to approach at credit risk exist: on one side we try to quantify the risk deriving from giving credit, on the other we will establish a strategy that allows us to invest money with the aim to pay the other part of the agreement. Everything became more clear chapter by chapter. Financial institutions like banks are exposed at both of this type of risk.
Chapters 1 and 5 are the center of this thesis: they represent the zero point from which the modern models were originated.

Tipologia del documento

Tesi di laurea
(Laurea magistrale)

Autore della tesi

Canafoglia, Fabio

Relatore della tesi

Scuola

Corso di studio

Indirizzo

Curriculum A: Generale e applicativo

Ordinamento Cds

DM270

Parole chiave

credit risk management asset pricing stochastic differential equation put and call option black-scholes model hedging merton mode

Data di discussione della Tesi

16 Dicembre 2016

URI

## Altri metadati

Tipologia del documento

Tesi di laurea
(NON SPECIFICATO)

Autore della tesi

Canafoglia, Fabio

Relatore della tesi

Scuola

Corso di studio

Indirizzo

Curriculum A: Generale e applicativo

Ordinamento Cds

DM270

Parole chiave

credit risk management asset pricing stochastic differential equation put and call option black-scholes model hedging merton mode

Data di discussione della Tesi

16 Dicembre 2016

URI

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