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Provisions estimation for portfolio of CDO in Gaussian financial environment

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.

Identiferoai:union.ndltd.org:UPSALLA1/oai:DiVA.org:hh-16508
Date January 2011
CreatorsMaximchuk, Oleg, Volkov, Yury
PublisherHögskolan i Halmstad, Tillämpad matematik och fysik (MPE-lab), Högskolan i Halmstad, Tillämpad matematik och fysik (MPE-lab)
Source SetsDiVA Archive at Upsalla University
LanguageEnglish
Detected LanguageEnglish
TypeStudent thesis, info:eu-repo/semantics/bachelorThesis, text
Formatapplication/pdf
Rightsinfo:eu-repo/semantics/openAccess

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