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Hedgemöjligheter för clearinghus under upplösningen av en medlemsdefault
KTH, School of Industrial Engineering and Management (ITM), Industrial Economics and Management (Dept.), Industrial Management.
KTH, School of Industrial Engineering and Management (ITM), Industrial Economics and Management (Dept.), Industrial Management.
2013 (Swedish)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesisAlternative title
CLEARING HOUSE HEDGING OPPORTUNITIES IN THE AFTERMATH OF A MEMBER DEFAULT (English)
Abstract [en]

Större delen av dagens forskning rörande clearinghus fokuserar på förebyggande initiativ för att minimera påverkan av en medlemsdefault. Detta examensarbete undersöker effekterna av att reaktivt applicera hedgingstrategier på en övertagen portfölj i upplösningen av en medlemsdefault. Vi har undersökt utfall på två olika hedgingstrategier, immunisering genom 3-faktor PCA samt parallellskifte, på tre olika portföljtyper. Riskmåtten Value-at-Risk, Expected Shortfall, värsta P&L-utfall, volatilitet, samt värsta kumulativa mark-to-market-förlusten har utvärderats på historisk data. Våra resultat indikerar att genom användandet av hedgingstrategier kan förbättringar i alla utvärderade riskmåtten uppnås. Vi ser också att 3-faktor PCA-strategin systematiskt överpresterar parallellskiftet och att den senare ibland kan förvärra en medlemsdefault, under vissa marknadsförhållanden.

Abstract [en]

Most research on clearing house default management is focused on preventive initiatives to minimize the impact of member defaults. This thesis will examine the effects of reactively applying hedging strategies on an inherited portfolio in the aftermath of a clearing member default. We have compared the impact of two different hedging strategies, a 3-factor PCA- and a parallel shift immunization, on three different portfolio characteristics. Value-at-Risk, Expected Shortfall, worst P&L outcome, volatility, and worst cumulative mark-to-market loss were evaluated through backtesting on historical data. Our results imply that by applying the hedging strategies, all of the evaluated risk parameters are subject to improvement. However, the 3-factor PCA strategy systematically outperforms the parallel shift approach and the latter may even increase risk during certain market conditions.

Place, publisher, year, edition, pages
2013. , 67 p.
Keyword [en]
Clearing house, CCP, Default management, Clearing member default, Principal component analysis, PCA, Parallel shift, Immunization, Hedge, Interest rate swap
Keyword [sv]
Clearinghus, CCP, Default processer, Clearingmedlemsdefault, Principalkomponentanalys, PCA, Parallellskifte, Immunisering, Hedging, Ränteswappar
National Category
Social Sciences
Identifiers
URN: urn:nbn:se:kth:diva-142350OAI: oai:DiVA.org:kth-142350DiVA: diva2:699732
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Available from: 2014-03-04 Created: 2014-02-28 Last updated: 2014-03-04Bibliographically approved

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Citation style
  • apa
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Output format
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