Tid: 23 februari 2004 kl 1515-1600
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: David Tysk.
Titel: SRB - Evaluating and extending an intensity-based credit risk model. (Examensarbete)
Sammanfattning: A credit risk model, SRB, developed by Sveriges Riksbank is evaluated. SRB is an intensity-based model, which has an intensity based on both idiosyncratic and macro economic variables. It is found that SRB does not manage to model the risk in a portfolio and it is therefore extended to a mixture type model. This extension is chosen, because of the model setup with common macro economic variables. For the extended SRB a very general dependence structure is chosen, but it still manages to model the risk very good for portfolios.
SRB is also compared to the structural KMV model, but no conclusions can be made because of the lack of default data from common KMV and SRB counterparts.
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