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Fixed Income Modeling
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
Modellering av värdepapper med fast avkastning (Swedish)
Abstract [en]

Besides financial analysis, quantitative tools play a major role in asset management. By managing the aggregation of large amount of historical and prospective data on different asset classes, it can give portfolio allocation solution with respect to risk and regulatory constraints.

Asset class modeling requires three main steps, the first one is to assess the product features (risk premium and risks) by considering historical and prospective data, which in the case of fixed income depends on spread and default levels. The second is choosing the quantitative model, in this study we introduce a new credit model, which unlike equity like models, model default as a main feature of fixed income performance. The final step consists on calibrating the model.

We start in this study with the modeling of bond classes and study its behavior in asset allocation, we than model the capital solution transaction as an example of a fixed income structured product.

Abstract [sv]

Förutom finansiell analys, kvantitativa verktyg spelar en viktig roll i kapitalförvaltningen också. Genom att hantera sammanläggning av stora mängder historiska och framtida uppgifter om olika tillgångsklasser kan dessa verktyg ge placeringslösning med avseende på risk och regulatoriska begränsningar.

Tillgångsklass modellering kräver tre huvudsteg: Den första är att utvärdera produktens funktioner (riskpremie och risker) genom att beakta historiska och framtida uppgifter, som i fallet med fast inkomst beror på spridning och normalnivåer. Den andra är att välja den kvantitativa modellen. I denna studie presenterar vi en ny kreditmodell, som till skillnad från aktieliknande modeller, utformar "standard" som det viktigaste inslaget i Fixed Income prestanda. Det sista steget består i att kalibrera modellen.

Vi börjar denna studie med modellering av obligationsklasser och med att studera dess beteende i tillgångsallokering. Sedan, modellerar vi kapital lösning transaktionen som ett exempel på en fast inkomst strukturerad produkt.

Place, publisher, year, edition, pages
2017.
Series
TRITA-MAT-E ; 2017:74
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:kth:diva-192372OAI: oai:DiVA.org:kth-192372DiVA, id: diva2:1148274
External cooperation
Grenoble INP Ensimag, Grenoble; AXA IM
Subject / course
Mathematical Statistics
Educational program
Master of Science in Engineering -Engineering Physics
Supervisors
Examiners
Available from: 2017-10-10 Created: 2017-10-10 Last updated: 2017-10-10Bibliographically approved

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