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Main Subjects
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Credit Derivatives
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We develop models for credit derivatives depending on the risk of default.
Important is the consideration of the unbalance between a relatively small
value in the case of profit and a much higher value in the case of default.
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Credit Risk
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The focus is on the implementation of Basel II for the new capital
requirements for credit instiutes.
Important is the adaptation to the portfolio of the credit institute
as well as the support for the backtesting later on.
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Insurance Mathematics
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In the field of insurance mathematics, our focus is within
Asset-Liability-Management (ALM) and Solvency II.
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Interest-Rate Models
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Since there is no reference model for interest rates, we investigate
the possibility to use different models for the price calculation
of complex interest rate derivatives as well as the implementation of
algorithms.
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Option-Pricing
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This topic concentrates on the derivation of pricing formulas and the
development of numerical algorithms for the calculation of the prices of
complex derivatives.
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Portfolio-Optimization
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The main point is the determination of an optimal investment strategy
in a given financial market.
We work in a time-continuous model and not, as usual in practice,
in the one-period model of Markowitz.
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© Fraunhofer ITWM
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