Tid: 21 juni 2011 kl 14.15-15.00.Seminarierummet 3721, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Håkan Edström
Titel: A Quantitative Analysis of Liquidity and Funding Value Adjustments (Examensarbete - Master thesis)
Abstract This thesis considers the expected loss and gain of capital due to al- located capital within the context of collateralized and un-collateralized trading relationships. The potential cost or gain of capital is arising from the mitigation of counterparty credit risk on account of the Credit Support Annex issued by ISDA. A consequence of the mitigation is that two new market risks arises, continuous cash ow streams between the involved parties, liquidity value adjustment and funding value adjustment. These are derived mathematically and quantitative analyzed with the aim to quantify and transfer the two risks to a third party in order to achieve a more neutral market risk. The impact of the two new risk are signicant. Investigating a 1 year IRS the total expected extra cost becomes 0.21 basis points and another 0.31 basis points at risk at the 99% quantile.
|Sidansvarig: Filip Lindskog