Evaluating Different Simulation-Based Estimates for Value and Risk in Interest Rate Portfolios

dc.contributor.advisor	Laading, Jacob	nb_NO
dc.contributor.author	Kierulf, Kaja	nb_NO
dc.date.accessioned	2014-12-19T13:58:37Z
dc.date.available	2014-12-19T13:58:37Z
dc.date.created	2010-09-16	nb_NO
dc.date.issued	2010	nb_NO
dc.identifier	351909	nb_NO
dc.identifier	ntnudaim:5553	nb_NO
dc.identifier.uri	http://hdl.handle.net/11250/258737
dc.description.abstract	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.	nb_NO
dc.language	eng	nb_NO
dc.publisher	Institutt for matematiske fag	nb_NO
dc.subject	ntnudaim	no_NO
dc.subject	SIF3 fysikk og matematikk	no_NO
dc.subject	Industriell matematikk	no_NO
dc.title	Evaluating Different Simulation-Based Estimates for Value and Risk in Interest Rate Portfolios	nb_NO
dc.type	Master thesis	nb_NO
dc.source.pagenumber	116	nb_NO
dc.contributor.department	Norges teknisk-naturvitenskapelige universitet, Fakultet for informasjonsteknologi, matematikk og elektroteknikk, Institutt for matematiske fag	nb_NO