KTH Matematik  

Matematisk Statistik

Tid: 28 september2015 kl 11.15-12.00.

Seminarierummet 3721, Institutionen för matematik, KTH, Lindstedtsvägen 25, plan 7. Karta!

Föredragshållare: Markus Ahlgren

Titel: Internal market risk modelling for power trading companies (Master's thesis)

Abstract Since the financial crisis of 2008, the risk awareness has increased in the financial sector. Companies are regulated with regards to risk exposure. These regulations are driven by the Basel Committee that formulates broad supervisory standards, guidelines and recommends statements of best practice in banking supervision. In these regulations companies are regulated with own funds requirements for market risks. This thesis constructs an internal model for risk management that, according to the "Capital Requirements Regulation" (CRR) respectively the "Fundamental Review of the Trading Book" (FRTB), computes the regulatory capital requirements for market risks. The capital requirements according to CRR and FRTB are compared to show how the suggested move to an expected shortfall (ES) based model in FRTB will affect the capital requirements. All computations are performed with data that have been provided from a power trading company to make the results t reality. In the results, when comparing the risk capital requirements according to CRR and FRTB for a power portfolio with only linear assets, it shows that the risk capital is higher using the value-at-risk (VaR) based model. This study shows that the changes in risk capital mainly depend on the different methods of calculating the risk capital according to CRR and FRTB respectively and minor on the change of risk measure.

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Sidansvarig: Filip Lindskog
Uppdaterad: 25/02-2009