Tid: 19 oktober 2009 kl 15.15-16.00

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Alexander Argiriou

Titel: Determining margin levels using risk modelling (Examensarbete – Master thesis)

Abstract

This thesis addresses the problem of how a broker should to set margin levels on individual stock or subportfolios using risk modelling. Expected Shortfall is used together with historical data to set margin levels on individual stock. Another method is then derived with the Euler allocation principle to take dependencies into account. A basic comparison is made that shows how a broker can increase the revenue from lending money by taking dependencies into account and set margin levels on subportfolios instead of individual stock.

The full report (pdf)

Till seminarielistan
To the list of seminars