Provisions estimation for portfolio of CDO in Gaussian ﬁnancial environment
Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
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.
Financial Mathematics, CDO, provision, static model, dynamic model, information, hedging
Other Mathematics Probability Theory and Statistics
IdentifiersURN: urn:nbn:se:hh:diva-16508Local ID: IDE1123OAI: oai:DiVA.org:hh-16508DiVA: diva2:452094
Subject / course
2011-05-31, Wigforssallen, Halmstad University, Halmstad, 11:26 (English)
UppsokPhysics, Chemistry, Mathematics
Nechaev, Mikhail, Ph. D
Bordag, Ljudmila A., Professor Dr.