Tid: 7 april 2003 kl 1615-1700

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

Föredragshållare: Mårten Grebäck

Titel: An Analytic Framework for Computing Value-at-Risk in Incomplete Markets with Credit Risk. (Examensarbete)


This master thesis presents a framework for analytic computation of Value-at-Risk for a portfolio of arbitrary derivatives. The underlying securities are modelled by jump-diffusion processes, where the number of jumps are Poisson distributed and the diffusion processes are driven by Brownian motions. The method is based on a delta-gamma approximation of the portfolio value and Fourier inversion of the characteristic function. In the second half of the thesis credit risk is introduced by a default event indicator variable. In case of a default, a certain fraction of the defaulted option's value is subtracted from the portfolio value. Several examples are presented illustrating the effects on Value-at-Risk with this extension.

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