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Mathematical Methods for the Efficient Assessment of Market and Credit Risk
Company: Universitat Kaiserslautern
Year Of Publication: 2003
Month Of Publication: September
Pages: 145
Download Count: 2195
View Count: 12063
Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 12-21-2003
Publisher: Administrator
Summary
The central theme in this thesis concerns the development of enhanced methods and algorithms for approaising market and credit risk and their application within the context of standard and more advanced market models. Generally, methods and algorithms for analysing market risk of complex portfolios involve detailed knowledge of option sensitivities, the co-called "Greeks". Based on an analysis of symmetries in financial market models, relations between option sensitivities are obtained, which can be used for the efficient valuation of the Greeks. Mainly the relations are derived within the Black Scholes model, however, some relations are also valid for more general models, for instance the Heston model. It is shown that the delta gamma normal approach can be improved substantially. An extension of the CreditRisk+ model to market risk is developed.
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Reiss, Oliver Sign in to follow this author
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