Search for dissertations about: "probability of default"

Showing result 1 - 5 of 21 swedish dissertations containing the words probability of default.

2. 1. Four applications of stochastic processes : Contagious disease, credit risk, gambling and bond portfolios

   Author : Patrik Andersson; Andreas Nordvall Lagerås; Håkan Andersson; Stewart N. Ethier; Stockholms universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Stochastic processes; Mathematical statistics; Matematisk statistik; Mathematical Statistics; matematisk statistik;

   Abstract : This thesis consists of four papers on applications of stochastic processes. In Paper I we study an open population SIS (Susceptible - Infective - Susceptible) stochastic epidemic model from the time of introduction of the disease, through a possible outbreak and to extinction. The analysis uses coupling arguments and diffusion approximations. READ MORE

4. 2. Bridges with Random Length and Pinning Point for Modelling the Financial Information

   Author : Mohammed Louriki; Astrid Hilbert; Dorje C. Brody; Linnéuniversitetet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Brownian motion; Brownian bridge; Gaussian process; Gaussian bridge; Gamma process; Gamma bridge; Lévy process; pinned Lévy process; Markov process; Bayes theorem; stopping time; default time; semi-martingale decomposition; credit risk; defaultable bond; last passage time; enlargement of filtration; stochastic filtering theory; information-based asset pricing; market filtration.; Mathematics; Matematik;

   Abstract : The impact of the information concerning an event of interest occurring at a future random time is the main topic of this work. The event can massively influence financial markets and the problem of modelling the information on the time at which it occurs is of crucial importance in financial modelling. READ MORE

5. 3. Information and Default Risk in Financial Valuation

   Author : Marta Leniec; Erik Ekström; Christoph Kühn; Uppsala universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; pricing; valuation; American options; Dynkin games; optimal stopping problem; optimal stopping games; credit risk; default risk; information; filtration; enlargement of filtrations;

   Abstract : This thesis consists of an introduction and five articles in the field of financial mathematics. The main topics of the papers comprise credit risk modelling, optimal stopping theory, and Dynkin games. An underlying theme in all of the articles is valuation of various financial instruments. READ MORE

6. 4. Multi-period valuation of insurance liabilities subject to capital requirements

   Author : Hampus Engsner; Filip Lindskog; Mathias Lindholm; Albrecher Hansjörg; Stockholms universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES;

   Abstract : In the papers presented here, approaches to multi-period valuation of a liability cashflow in runoff, subject to repeated capital requirements, are developed and analyzed. The valuation approaches are inspired by current risk-based regulatory frameworks for the insurance industry, and consistent with the fundamental principles underlying them. READ MORE

7. 5. Analysis of factorial experiments using mixed-effects models: options for estimation, prediction and inference

   Author : Razaw Al-Sarraj; Sveriges lantbruksuniversitet; Sveriges lantbruksuniversitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES;

   Abstract : In linear mixed-effects modelling of experiments, estimation of variance components, prediction of random effects, and computation of denominator degrees of freedom associated with inference on fixed effects, are important elements of the analysis. This thesis investigates alternatives to the likelihoodbased procedures for analysis of factorial experiments with normally distributed observations. READ MORE