Tid: 7 april 2017 kl 13.15-13.45.

Föredragshållare: Tarek Barbouche, (Master thesis)

Titel: Extreme value theory applied to securitizations rating methodology

Abstract One of today?s financial trends is securitization. Evaluating Securitization risk requires some strong quantitative skills and a deep understanding of both credit and market risk. For international securitization programs it is mandatory to take into account the exchange-rates-related risks. We will see the different methods to evaluate extreme variations of the exchange rates using the Extreme Value Theory and Monte Carlo simulations.

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