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Extreme Value Theory Applied to Securitizations Rating Methodology
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2017 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesisAlternative title
Extremvärdesteori tillämpat på värdepapperisering (Swedish)
Abstract [en]

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 di˙erent methods to evaluate extreme variations of the exchange rates using the Extreme Value Theory and Monte Carlo simulations.

Abstract [sv]

Värdepapperisering är en av dagens finansiella trender. Att utvärdera vär-depapperisering risk kräver starka kvantitativa kunskaper och en förståelseför både kredit- och marknadsrisk. För internationell värdepapperisering ärdet obligatoriskt att hänsyn tas till valutarisker. Vi kommer att se de olika metoder för att utvärdera extrema variationer i valutakurser med hjälp av extremvärdesteori och Monte Carlo-simuleringar.

Place, publisher, year, edition, pages
2017.
Series
TRITA-MAT-E, 2017:09
Keyword [en]
Extreme Value Theory, Exchange rates, Block Maxima, Peaks-over-Threshold, Securitization
Keyword [sv]
Extremvärdesteori, Valutakurser, Block Maxima, Peaks-over-Threshold, Värdepapperisering
National Category
Computational Mathematics
Identifiers
URN: urn:nbn:se:kth:diva-204640OAI: oai:DiVA.org:kth-204640DiVA: diva2:1087823
External cooperation
Crédit Agricole Corporate and Investment Bank, Paris
Subject / course
Financial Mathematics
Educational program
Master of Science in Engineering -Engineering Physics
Supervisors
Examiners
Available from: 2017-04-10 Created: 2017-04-10 Last updated: 2017-04-10Bibliographically approved

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fulltext(2106 kB)41 downloads
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CiteExportLink to record
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Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
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Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
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  • Other locale
More languages
Output format
  • html
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  • asciidoc
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