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Stress-test, produits structurés et gestion de bilan bancaire

Abstract : The aim of this thesis is to link the pricing of derivative products to the scenariobased analysis used in banks management. Options’ pricing has a wideliterature and a well-defined mathematical framework focusing on the marketfinance problematics and in particular on delta hedging. The risk managementof these products are thus analyzed with this point of view based onthe famous absence of arbitrage opportunity principle. Under this principle,the best estimates for tomorrow are those anticipated by the market todaydue to the presence of hedging instuments. On the other side, corporate financialmanagement is based on a scenario based approach. Senior managersselect scenarios which seem both interesting and plausible and a projectionfor each scenario is analyzed. Generally, we do not attribute probability tothe scenarios, which implies a modeling based on uncertainty where the notionof probability and mathematical expectation are not involved. Bank hascomplex products for the needs of its activity and it does not hedge them asa service related to market activities would do. We do our analyze in thisframework. We analyze this need of scenario based projection for complexproducts.
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Submitted on : Tuesday, April 30, 2019 - 3:33:06 PM
Last modification on : Tuesday, May 5, 2020 - 3:05:18 AM


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Bünyamin Erkan. Stress-test, produits structurés et gestion de bilan bancaire. Economies et finances. Université de Cergy Pontoise, 2017. Français. ⟨NNT : 2017CERG0948⟩. ⟨tel-02115910⟩



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