Hold Date

2012-10-17 16:45～2012-10-17 17:45

Place

Lecture Room L-1 (3F, IMI, Kyushu University)

Object person

　

Speaker

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