Tid: 3 mars 2008 kl 15.15-16.00
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Mårten Marcus
Titel: A Volatility Approach to Constructing Real Time Probability Distributions
Sammanfattning: We propose a method for calculating market risk involved in hedge fund investments. The proposed method estimates a continuous distribution of expected returns. This return distribution is then used for calculating market risk in terms of Value at Risk (VaR). The main idea of the proposed method is to price options based on historical data, using an implied volatility model for exchange rates previously proposed in the literature, and to calculate VaR from return distributions implied by these option prices. VaR figures of hedge fund returns, estimated with the proposed method, are compared to corresponding Cornish-Fisher VaR as well as Empirical VaR, and the robustness is compared by means of bootstrapping.
|Sidansvarig: Filip Lindskog