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Dissertation writing help- On the Dynamical Risk Properties of a Bond Portfolio
Custom Dissertation Writing Service on determination of risk premia
In this thesis a study of a portfolio of defaultable bonds and swaps is performed. The focus is on the modeling and determination of risk premia associated with different types of risk linked to the portfolio. This comprises the market and credit risk and a default contingent market risk associated with the swaps.
Different models are used to investigate the various risks. The market risk is analyzed via Value-at-Risk. The credit risk is described by the portfolio's loss distribution. Its calculation is based on a correlation expansion technique, which enables fast analytical computation of relevant expectation values. The default contingent market risk is modeled via EPE-profiles familiar from counterparty risk. The theoretical predictions are compared with results from a dynamical portfolio simulation.
The results of this dissertation are twofold. Firstly, it is shown how the default contingent market risk can be modeled and consistently integrated into the full risk framework. The importance of the modeling issue of the default contingent market risk is highlighted. Secondly, it is shown that the analytical results regarding the correlation expansion of a Gaussian copula can be extended to other copulas as well. An implementation of the correlation expansion method is provided.
Dissertation writing help on Architecture and Campus Planning/Interactive Qualitative Analysis
Value at risk (VaR) is of central importance in modern financial risk management. Of the various methods that exist to compute the VaR, the most popular are historical simulation, the variance-covariance method and Monte Carlo (MC) simulation.
LIBOR Market Model- the parameterization of the forward rate volatility term structure is presented and it is shown how this relates to swap rates.
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Undercutting the Realism-Irrealism Debate: John Dewey and the Neo-Pragmatists
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This work is concerned with the SABR-LMM model. This is a term structure model of interest forward rates with stochastic volatility that is a natural extension
Compose a theoretically sound and conceptually rich essay that demonstrates knowledge of fundamental subject areas of a Learner's academic discipline and specialization.
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Advise a model for the correlation structure of reference portfolios of collateralized debt obligations - The Hidden Correlation of Collateralized Debt Obligations
The subject of this paper is the single tranche portfolio credit default swap or synthetic single tranche CDO, which has gets a great deal of interest in present years.
Counterparty credit risk management and validation of out-of-the-money hedges require risk factor evolution models that are capable of reproducing essential statistical properties of historical time-series.
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