Tid: 3 september 2007 kl 15.15-16.00
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Christoffer Jevring
Titel: The t-distribution in latent variable models for credit risk. (Examensarbete)
Sammanfattning: This thesis generalizes the Credit Metrics model by introducing the multivariate t-distribution as the distribution for the underlying assets. The behaviour of the model is examined and arguments for its use are presented. By considering a well diversified homogeneous portfolio of loans, the so called Basel formula for capital requirement is generalized to this setting.