Tid: 18 juni 2007 kl 15.15-16.00

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

Föredragshållare: Kristofer Ericson

Titel: Modelling Aspects in Credit Investments (Examensarbete)

Sammanfattning: Following standard concepts and techniques, this thesis provides a framework for modelling credit risk, i.e. the risk that the value of a portfolio changes due to unexpected changes in the quality of issuers. As a first step we aim to forecast bond indices, chosen to represent investments of varying risk exposure. In order to make the modelling as realistic as possible, we incorporate the concept of credit migration and defaults. This is an attempt to capture how debt changes credit quality or in worst case, defaults. Finally, we generate scenarios and study the statistical properties of the return of our investments.

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