Tid: 12 april 2012 kl 16.15-17.00.Seminarierummet 3721, Institutionen för Matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Matts Andersson
Titel: Risk assessment of portfolios of exotic derivatives. (Examensarbete - Master thesis)
Abstract Trading with derivatives is getting increasingly popular. A consequence is that the risk of the portfolio becomes less transparent and more difficult to evaluate. Simple derivatives like European options are easily priced using the Black-Scholes formula. However, when the derivatives are path-dependent, finding closed-form expressions gets a lot trickier and you have to rely on approximations or even simulations to price them. As the portfolios are getting larger the computational cost becomes an issue. In this thesis we attempt to find a model that is accurate while still maintaining a low computational cost. We estimate Value-at-Risk and Expected Shortfall using Monte-Carlo Simulation. Estimating the risk factors is always a challenge. We test three different methods and evaluate their performance using a simple backtest.
|Sidansvarig: Filip Lindskog