Tid: 27 augusti 2007 kl 15.15-16.00
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Justine Gruel
Titel: Basel II Methodologies - Calyon Project Finance LGD Model (Examensarbete)
Sammanfattning: In the framework of the new Basel II regulation, the French bank Calyon has chosen the Advanced IRB approach: this means that the bank can set up its own models to evaluate the Regulatory Capital. This master's thesis studies possible models for the Calyon Project Finance predictive LGD. First the Basel II regulation and its impact on the Project Finance activity are presented: the specificities of Project Finance make difficult the designing of a model. Then the sets of available data to calibrate the predictive LGD model are evaluated: data from different sources can be aggregated only with the utmost care. Finally, different approaches to set up a model are considered, using in particular the R software.