Tid: 29 november 2004 kl 1615-1700
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Simon Oljans.
Titel: A Liability Matching Approach Involving Structured Products. (Examensarbete)
Sammanfattning: This master thesis studies the difficulties that a financial advisor at an intermediate sized investment bank can face when trying to find a feasible asset allocation for an institutional client with pension liabilities. The problem is that for a financial advisor in such a division it is difficult to make a quick and accurate estimation of the client's total liability side, especially since there is often a lack of pension fund information due to confidentiality. In the thesis we thus define a framework of a very pragmatic model, or approach, which can be used to obtain an approximate estimation of the institutional client's liability side and based on this then, suggests an asset allocation involving a bond portfolio, a portfolio of risk-bearing instruments, and a portfolio consisting of structured products. Based on previous research conducted in the area of portfolio optimization involving liabilities an alternative and more comprehensive approach is also developed. The results of this alternative approach are compared with the results of the first suggested approach and a discussion on which, if either one, of the approaches an intermediate investment bank should use concludes the thesis.