Sökning: "Anna Kulakova"

Hittade 1 uppsats innehållade orden Anna Kulakova.

  1. 1. Stress-testing of the Russian Banking Sector: Contingent Claims Analysis Approach

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Anna Kulakova; [2019]
    Nyckelord :credit risk; stress-testing; contingent claims analysis; Merton model; vector autoregression; Business and Economics;

    Sammanfattning : This study aims to perform stress-testing of the Russian banking sector with a focus on credit risk measures derived by using contingent claims analysis, an extension of Black-Scholes and Merton option pricing theory. Risk exposure indicators are linked to a number of macroeconomic variables that describe global and domestic economic and financial development. LÄS MER