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Provisions estimation for portfolio of CDO in Gaussian financial environment
Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), Tillämpad matematik och fysik (MPE-lab). (Financial Mathematics)
Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), Tillämpad matematik och fysik (MPE-lab).
2011 (engelsk)Independent thesis Advanced level (degree of Master (One Year)), 10 poäng / 15 hpOppgave
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.

sted, utgiver, år, opplag, sider
2011. , s. 58
Emneord [en]
Financial Mathematics, CDO, provision, static model, dynamic model, information, hedging
HSV kategori
Identifikatorer
URN: urn:nbn:se:hh:diva-16508Lokal ID: IDE1123OAI: oai:DiVA.org:hh-16508DiVA, id: diva2:452094
Fag / kurs
Financial Mathematics
Presentation
2011-05-31, Wigforssallen, Halmstad University, Halmstad, 11:26 (engelsk)
Uppsök
Physics, Chemistry, Mathematics
Veileder
Examiner
Tilgjengelig fra: 2011-10-28 Laget: 2011-10-28 Sist oppdatert: 2011-11-16bibliografisk kontrollert

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