Tid: 21 februari 2002 kl 1515-1600 (OBS! Dagen!)

Plats : Seminarierummet 3721 (OBS! Plats), Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Henrik B. Kwarnmark

Titel: A vector-autoregressive integrated market and macro factor default model. (Examensarbete)


This thesis aims at identifying relationships between market and macroeconomic factors and probability of default through the help of time series analysis. The task is to develop a vector-autoregressive model to simulate the probability of default that takes these market and macroeconomic risks into account. The principles of cointegration are also examined and practised in one of the models developed.

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