Tid: 17 maj 2004 kl 1515-1600
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Daniel Sunesson.
Titel: Two Default Risk Models. (Examensarbete)
Sammanfattning: In this paper a default risk model is extended to take different industries into account, i.e. the industry dimension is inferred into the model. The theory behind reduced form models is presented and two different models are considered for the purpose of a comparative analysis. The analysis is focused on the mapping from loan to credit quality rating and specific features of the loss distribution are also investigated. Finally, the effects on capital requirements under the Basel II paradigm are analyzed. The results indicate that the extension results in a considerable redistribution of the credit rating for the individual loans whereas the risk for the total portfolio remains unaffected.