<p>This thesis evaluates risk measures for interest rate portfolios. First a model for interest rates is established: the LIBOR market model. The model is applied to Norwegian and international interest rate data and used to calculate the value of the portfolio by using Monte Carlo simulation. Estimation of volatility and correlation is discussed as well as the two risk measures value at risk and expected tail loss. The data used is analysed before the results of the backtesting evaluating the two risk measures are presented.</p>
Identifer | oai:union.ndltd.org:UPSALLA/oai:DiVA.org:ntnu-10823 |
Date | January 2010 |
Creators | Kierulf, Kaja |
Publisher | Norwegian University of Science and Technology, Department of Mathematical Sciences, Institutt for matematiske fag |
Source Sets | DiVA Archive at Upsalla University |
Language | English |
Detected Language | English |
Type | Student thesis, text |
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