Tid: 11 december 2006 kl 15.15-10´6.00

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

Föredragshållare: Erik Alexandersson

Titel: Extreme Events in a Multi-factor Affine Term Structure Model. (Examensarbete)

Sammanfattning: This thesis examines time series of stochastic interest rate movements for the purpose of better modelling interest rate risk. A widespread and popular type of interest rate model is the multi-factor Affine Term Structure Model (ATSM). The aim of this thesis is to study whether an ATSM is well suited for modelling extreme events, or if actual interest rate movements have considerably heavier tails than the model can explain. The data examined are approximately 10 years of Euro Swap yields, which are fitted in the ATSM of Nordea's asset and liability model. A number of statistical methods are used, including Peaks Over Threshold (POT), Quantile-Quantile plots and mean excess. The results show that the selected period does not have significant heavy tails, and that the ATSM is a sufficient model in this respect.

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