Tid: 1 december 2003 kl 1515-1600

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

Föredragshållare: Oskar Åkerblom

Titel: To Model the Risk of Cash Flow based Finance Transactions for PFI Deals (Examensarbete)


The thesis is a work for DZ Bank (London) who wanted a cash flow model for PFI deals. The model should be in line with the requirements of BIS (Bank of International Settlements) as formulated in the Basel Capital Accord, and hopefully also meet those of the forthcoming New Basel Capital Accord ("Baset II").

The basic idea behind the model is that when certain macroeconomic factor changes, the cash flow for the consortium running the PFI project changes as well. Since DZ Bank has lent capital to the consortium they are interested in the risk of default for the consortium and how much DZ Bank might lose if default occurs.

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