Agence de notation financière

Une agence de notation financière est un organisme chargé d'évaluer le risque de non-remboursement de la dette ou d'un emprunt d'un État, d'une entreprise ou d'une collectivité locale, et jamais d'un particulier. Rémunérée par le demandeur de notation financière, elle produit, à titre indicatif, des outils qui estiment les risques d'insolvabilité. Le marché des agences est oligopolistique : trois agences seulement se partagent 95 % des demandes de notations dans le monde. Contrairement à une agence de notation sociétale, ce type d'agence n'inclue aucun critère environnemental ou social dans ses notations. Les seuls critères d'évaluation pris en compte sont financiers. Par conséquent, elle évalue les risques financiers, et non des risques plus globaux notamment en rapport avec des critères de développement durable. Les notations de ces agences sont étudiées attentivement par les marchés financiers internationaux, qui leur formulent parfois des reproches comme lors de la crise finan

Polynomial models in finance

Damien Edouard Ackerer

This thesis presents new flexible dynamic stochastic models for the evolution of market prices and new methods for the valuation of derivatives. These models and methods build on the recently characterized class of polynomial jump-diffusion processes for which the conditional moments are analytic. The first half of this thesis is concerned with modelling the fluctuations in the volatility of stock prices, and with the valuation of options on the stock. A new stochastic volatility model for which the squared volatility follows a Jacobi process is presented in the first chapter. The stock price volatility is allowed to continuously fluctuate between a lower and an upper bound, and option prices have closed-form series representations when their payoff functions depend on the stock price at finitely many dates. Truncating these series at some finite order entails accurate option price approximations. This method builds on the series expansion of the ratio between the log price density and an auxiliary density, with respect to an orthonormal basis of polynomials in a weighted Lebesgue space. When the payoff functions can be similarly expanded, the method is particularly efficient computationally. In the second chapter, more flexible choices of weighted spaces are studied in order to obtain new series representations for option prices with faster convergence rates. The option price approximation method can then be applied to various stochastic volatility models. The second half of this thesis is concerned with modelling the default times of firms, and with the pricing of credit risk securities. A new class of credit risk models in which the firm default probability is linear in the factors is presented in the third chapter. The prices of defaultable bonds and credit default swaps have explicit linear-rational expressions in the factors. A polynomial model with compact support and bounded default intensities is developed. This property is exploited to approximate credit derivatives prices by interpolating their payoff functions with polynomials. In the fourth chapter, the joint term structure of default probabilities is flexibly modelled using factor copulas. A generic static framework is developed in which the prices of high dimensional and complex credit securities can be efficiently and exactly computed. Dynamic credit risk models with significant default dependence can in turn be constructed by combining polynomial factor copulas and linear credit risk models.

EPFL2017

Credit Derivatives in an Affine Framework

Li Chen, Damir Filipovic

An efficient method for valuing credit derivatives based on three entities is developed in an affine framework. This includes interdependence of market and credit risk, joint credit migration and counterparty default risk of three forms. As an application we provide closed form expressions for the joint distribution of default times, default correlations, and default swap spreads in the presence of counterparty default risk

2007

Polynomial models in finance

Damien Edouard Ackerer

EPFL2017