Tid: 12 juni 2015 kl 15.15-16.00.

Föredragshållare: Johan Olsson

Titel: Managing clearinghouse risk for NDF cleared contracts (Master's thesis)

Abstract In this thesis we describe and discuss the reality for a central clearing party clearinghouse. The importance of sound risk management is discussed. We specifically validate the usage of a Historical Simulation/VaR approach for managing the risk when acting as a CCP for the Non Delivery Forward FX instrument. The method is back tested and some alternative approaches are proposed.

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