KTH Matematik  

Matematisk Statistik

Tid: 27 september 2013 kl 13.15-14.00.

Konferensrummet 3424, Institutionen för matematik, KTH, Lindstedts väg 25, plan 4.

Föredragshållare: Takeo Murase

Titel: Interest rate risk - using benchmark shifts in a multi-hierarchy paradigm (Examensarbete - Master thesis)

Abstract This master thesis investigates the generic benchmark approach to measuring interest rate risk. First the background and market situation is described followed by an outline of the concept and meaning of measuring interest rate risk with generic benchmarks. Finally a single yield curve in an arbitrary currency is analyzed in the cases where linear interpolation and cubic interpolation technique is utilized. It is shown that in the single yield curve setting with linear interpolation or cubic interpolation the problem of finding interest rate scenarios can be formulated as convex optimization problems implying properties such as convexity and monotonicity. The analysis also shed light on the difference between linear interpolation and cubic interpolation technique for which scenario is generated and means to go about solving for the scenarios generated by the views imposed on the generic benchmark instruments. Further research on the topic of the generic benchmark approach that would advance the understanding of the model is suggested at the end of the paper. However at this stage it seems like using generic benchmark instruments for measuring interest rate risk is a consistent and computational viable option which not only measures the interest rate risk exposure but also provide a guidance in how to act in order to manage interest rate risk in a multi hierarchy paradigm.

Full report.

Till seminarielistan
To the list of seminars

Sidansvarig: Filip Lindskog
Uppdaterad: 31/01-2013