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master's thesis
Strukturalni modeli kreditnog rizika
Zagreb: University of Zagreb, Faculty of Science, 2021. urn:nbn:hr:217:304825
Župić, Barbara
University of Zagreb
Faculty of Science
Department of Mathematics

Institutional repository: Repository of the Faculty of Science

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Župić, B. (2021). Strukturalni modeli kreditnog rizika (Master's thesis). Zagreb: University of Zagreb, Faculty of Science. Retrieved from https://urn.nsk.hr/urn:nbn:hr:217:304825

Župić, Barbara. "Strukturalni modeli kreditnog rizika." Master's thesis, University of Zagreb, Faculty of Science, 2021. https://urn.nsk.hr/urn:nbn:hr:217:304825

Župić, Barbara. "Strukturalni modeli kreditnog rizika." Master's thesis, University of Zagreb, Faculty of Science, 2021. https://urn.nsk.hr/urn:nbn:hr:217:304825

Župić, B. (2021). 'Strukturalni modeli kreditnog rizika', Master's thesis, University of Zagreb, Faculty of Science, accessed 22 November 2024, https://urn.nsk.hr/urn:nbn:hr:217:304825

Župić B. Strukturalni modeli kreditnog rizika [Master's thesis]. Zagreb: University of Zagreb, Faculty of Science; 2021 [cited 2024 November 22] Available at: https://urn.nsk.hr/urn:nbn:hr:217:304825

B. Župić, "Strukturalni modeli kreditnog rizika", Master's thesis, University of Zagreb, Faculty of Science, Zagreb, 2021. Available at: https://urn.nsk.hr/urn:nbn:hr:217:304825

Metadata
TitleStrukturalni modeli kreditnog rizika
Title (english)Structural models of credit risk
AuthorBarbara Župić
MentorAzra Tafro (mentor)
Committee memberAzra Tafro (predsjednik povjerenstva)
Committee memberNikola Sandrić (član povjerenstva)
Committee memberRudi Mrazović (član povjerenstva)
Committee memberVjekoslav Kovač (član povjerenstva)
GranterUniversity of Zagreb
Faculty of Science
(Department of Mathematics)
Zagreb
Defense date and country2021-09-21, Croatia
Scientific / art field,
discipline and subdiscipline		NATURAL SCIENCES
Mathematics
Abstract
Kreditni rizik je rizik neispunjavanja obaveza dužnika, a uz njega najčešće vežemo pojam defaulta, tj. neizvršenja novčanih obaveza. U ovom radu želimo pokazati kako procjenjujemo rizičnost dužnika, njegovo kretanje financijske imovine te vjerojatnost ulaska u default. Također, navodimo podjelu kreditnih modela na strukturalne i reducirane modele. Bavimo se strukturalnim modelima koji u fokus stavljaju vrijednost imovine poduzeća i pretpostavljaju da do defaulta dolazi kada vrijednost obaveza koje treba namiriti dosegne vrijednost imovine poduzeća. Predstavnik strukturalnih modela je Mertonov model koji se temelji na Black-Scholes- Mertonovom modelu pomoću kojeg smo odredili cijene financijske imovine. Kako Mertonov model ima jednostavnu strukturu, na kraju rada naveli smo i neka proširenja Mertonovog modela koja su nastala s ciljem da nadoknade nedostatke Mertonovog modela.
Abstract (english)
Credit risk is a risk that a counterparty will not meet obligations, and it is most often associated with the term of default. In this thesis, we want to show how we assess the risk of the counterparty, his movement of financial assets and the probability of entering the default. We also state the division of credit models into structural and reduced models. We study structural models that focus on the value of the firm’s assets and assume that the default occurs when the value of the obligation to be settled reaches the value of the firm’s assets. A representative of the structural models is the Merton model based on the Black-Scholes- Merton model by which we determine the prices of financial assets. As Merton’s model has a simple structure, at the end of the thesis we have listed some extensions of Merton’s model that were created in order to compensate for the shortcomings of Merton’s model.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:217:304825
Study programmeTitle: Finance and Business Mathematics
Study programme type: university
Study level: graduate
Academic / professional title: magistar/magistra matematike (magistar/magistra matematike)
Type of resourceText
File originBorn digital
Access conditionsOpen access
Terms of useLicence In copyright icon
Created on2021-11-09 13:22:22