Tid: 14 mars 2005 kl 1615-1700

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

Föredragshållare: Christian Fredriksson.

Titel: Credit Derivatives - The impact of correlation. (Examensarbete)

Sammanfattning: The topic of this thesis is the modelling and pricing of multi-name credit derivatives such as Basket Default Swaps and Collaterized Debt Obligations. These products are defined in terms of a portfolio of underlying credits. In order to account for the dependence among underlying obligors, the concept of a copula is introduced. Also a terminology to calibrate the copula parameters to market data is suggested. In this thesis the products are valuated with the Gaussian and Student's t-copula and the impact of tail dependence is examined. Pricing equations and Monte Carlo simulation algorithms are presented. The pricing algorithms are implemented in Matlab, and the price sensitivity with respect to price driving factors such as correlation, recovery rate, and the credit-worthiness of the underlying portfolio is examined.

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