Tid: 7 april 2017 kl 13.15-13.45.Seminarierummet 3721, Institutionen för matematik, KTH, Lindstedtsvägen 25, plan 7. Karta!
Föredragshållare: Tarek Barbouche, (Master thesis)
Titel: Extreme value theory applied to securitizations rating methodology
Abstract One of today?s financial trends is securitization. Evaluating Securitization risk requires some strong quantitative skills and a deep understanding of both credit and market risk. For international securitization programs it is mandatory to take into account the exchange-rates-related risks. We will see the different methods to evaluate extreme variations of the exchange rates using the Extreme Value Theory and Monte Carlo simulations.
|Sidansvarig: Filip Lindskog