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Risk capital stress-testing framework and the new capital adequacy rules
Stockholm University, Faculty of Science, Department of Mathematics.
2007 In: Journal of Risk Model Validation, Vol. 1, no 3, 3-28 p.Article in journal (Refereed) Published
Place, publisher, year, edition, pages
2007. Vol. 1, no 3, 3-28 p.
Identifiers
URN: urn:nbn:se:su:diva-25779OAI: oai:DiVA.org:su-25779DiVA: diva2:200506
Note
Part of urn:nbn:se:su:diva-8570Available from: 2009-03-12 Created: 2009-02-19Bibliographically approved
In thesis
1. Theoretical and Practical Applications of Probability: Excursions in Brownian Motion, Risk Capital Stress Testing, and Hedging of Power Derivatives
Open this publication in new window or tab >>Theoretical and Practical Applications of Probability: Excursions in Brownian Motion, Risk Capital Stress Testing, and Hedging of Power Derivatives
2009 (English)Doctoral thesis, comprehensive summary (Other academic)
Abstract [en]

The thesis treats three different areas; (i) Ranked increments of stable processes and ranked excursions of Brownian motion, (ii) Sufficient capital levels for banks, and (iii) Trading strategies for reduction of the fluctuations of revenues for power plants.

The first part is a theoretcial investigation involved with the calculation of distribution functions concerning special properties of stable processes.

The second part is a description of a framework in which the sufficiency of capital levels for banks can be evaluated.

The third part is a typical example of how financial mathematics can be used to derive practical methods applicable in risk management of energy derivatives and real options.

Altogether, five papers are presented.

Place, publisher, year, edition, pages
Stockholm: Matematiska institutionen, 2009. 31 p.
National Category
Probability Theory and Statistics
Research subject
Mathematical Statistics
Identifiers
urn:nbn:se:su:diva-8570 (URN)978-91-7155-820-6 (ISBN)
Public defence
2009-04-03, sal 14, hus 5, Kräftriket, Stockholm, 13:00
Opponent
Supervisors
Available from: 2009-03-12 Created: 2009-02-19Bibliographically approved

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  • apa
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  • de-DE
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