*Tid:* **12 maj 2008 kl 15.15-16.00 **
*Plats :* **Seminarierummet 3733**, Institutionen för
matematik, KTH, Lindstedts väg 25, plan 7. Karta!
*Föredragshållare:*
**
Alexander Ruben
**
**Titel:**
Long-term simulation of yield curves and the computation of Potential
Future Exposure for counterparty risk measurements
**Sammanfattning:**
The Basel II framework introduced new methods for the calculation of
counterparty credit risk for OTC-derivatives. One of these methods is
the Internal Model Method which may use a simulation based approach
in order to quantify counterparty exposures in terms of Potential
Future Exposure and Exposure at Default. In this thesis we use
sophisticated term-structure models for the estimation of
counterparty exposures for horizons reaching beyond ten years. The
exposures we will focus on are driven by the interest rate as a risk
factor, which is why we specifically will look at long-term
simulations of the yield curve. We will define what requirements an
interest-rate model must fulfil in order to be considered for Basel
II use, furthermore we will investigate the Hull-White model, the
G2++ model and the Libor Market Model for our purpose of quantifying
future counterparty exposures. Regarding these models we will look at
calibration issues and simulations of zero-coupon bond prices and
yield curves in order to conclude what model to use for our purpose.
Till seminarielistan
To the list of
seminars |