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Provisions estimation for portfolio of CDO in Gaussian financial environment
Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab. (Financial Mathematics)
Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab.
2011 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

The problem of managing the portfolio provisions is of very high importance for any financial institution. In this paper we provide both static and dynamic models of provisions estimation for the case when the decision about provisions is made at the first moment of time subject to the absence of information and for the case of complete and incomplete information. Also the hedging strategy for the case of the defaultable market is presented in this work as another tool of reducing the risk of default. The default time is modelled as a first-passage time of a standard Brownian motion through a deterministic barrier. Some methods of numerical provision estimation are also presented.

Place, publisher, year, edition, pages
2011. , 58 p.
Keyword [en]
Financial Mathematics, CDO, provision, static model, dynamic model, information, hedging
National Category
Other Mathematics Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:hh:diva-16508Local ID: IDE1123OAI: oai:DiVA.org:hh-16508DiVA: diva2:452094
Subject / course
Financial Mathematics
Presentation
2011-05-31, Wigforssallen, Halmstad University, Halmstad, 11:26 (English)
Uppsok
Physics, Chemistry, Mathematics
Supervisors
Examiners
Available from: 2011-10-28 Created: 2011-10-28 Last updated: 2011-11-16Bibliographically approved

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CiteExportLink to record
Permanent link

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Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
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