*Tid:* **8 mars 2012 kl 10.15-11.00.** (Observera dagen och
tiden)
**Sammanträdesrummet 3424**, Institutionen för
matematik, KTH, Lindstedts väg 25, plan 4.
Karta!
*Föredragshållare:*
**
Mikael Forsman
**
**Titel:**
A Model Implementation of Incremental Risk Charge
(Examensarbete - Master thesis)
**Abstract**
In 2009 the Basel Committee on Banking Supervision released the final
guidelines for
computing capital for the Incremental Risk Charge, which is a complement
to the
traditional Value at Risk intended to measure the migration risk and the
default risk in
the trading book. Before Basel III banks will have to develop their own
Incremental
Risk Charge model following these guidelines. The development of such a
model that
computes the capital charge for a portfolio of corporate bonds is
described in this
thesis. Essential input parameters like the credit ratings of the
underlying issuers,
credit spreads, recovery rates at default, liquidity horizons and
correlations among the
positions in the portfolio will be discussed. Also required in the model
is the transition
matrix with probabilities of migrating between different credit states,
which is
measured by historical data from Moody´s rating institute. Several
sensitivity analyses
and stress tests are then made by generating different scenarios and
running them in
the model and the results of these tests are compared to a base case. As
it turns out,
the default risk contributes for the most part of the Incremental Risk
Charge.
The full report (pdf)
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