Tid: 7 juni 2005 kl 1515-1600 (OBS! dagen!)

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

Föredragshållare: Sam Nylander.

Titel: Pricing Basket Credit Derivatives using a One Factor Model. (Examensarbete)

Sammanfattning: The valuation of basket credit derivatives requires the modelling of the default dependence between issuers. Up until recently the market standard model has been a Gaussian Monte Carlo method.

In this thesis we implement a one factor model approach first presented by Laurent and Gregory (2003), and Andersen, Sidenius and Basu (2003). This model results in semi-analytical expressions for the price of basket credit derivatives, avoiding the time consuming simulation step needed with the Monte Carlo method. We find that the factor model compares well to the Monte Carlo method for contracts sensitive to the lower part of the loss distribution but with less accuracy higher up.

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