Term structure model for bank risk management
- Hold Date
- 2012-10-17 16:45~2012-10-17 17:45
- Place
- Lecture Room L-1 (3F, IMI, Kyushu University)
- Object person
-
- Speaker
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Takashi YASUOKA (Graduate School of Engineering Management(MOT), SHIBAURA INSTITUTE OF TECHNOLOGY)
The IMI Colloquium in October | Date:Wednesday, 17 October 2012 16:00- tea time (at common room) 16:45-17:45 lecture | Place:Lecture Room L-1 (3F, IMI, Kyushu University) | Speaker:Takashi YASUOKA Graduate School of Engineering Management(MOT), SHIBAURA INSTITUTE OF TECHNOLOGY | | Title:Term structure model for bank risk management | | Abstract: All banks and insurance companies face interest rate risk. With this issue, a term structure model, which originally has been developed for derivative pricing, is applicable for stochastic interest rate scenario simulation. From the mathematical viewpoint, we shall explain a fundamental problem to apply the term structure you some numerical simulation technologies on acoustic model for the scenario simulation, and introduce some recent works. | | | |
IMI Colloquium Report |