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Nya kapitaltäckningsregelverkets(Corep) påverkan på en svensk bankmed avseende på marknadsrisk
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2014 (Swedish)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesisAlternative title
The impact of the new capital requirement directive(CRD IV Corep) on a Swedish bank with regards tomarket risk (Swedish)
Abstract [sv]

I denna rapport undersöks hur det nya regelverket för kapitaltäckning (CRD IV Corep) påverkar en svensk bank med avseende på marknadsrisk. Studien är avgränsad till ”icke-delta”-risker för aktieoptioner. Syftet med rapporten är att utreda vilka parametrar som driver kapitaltäckningen i det nya regelverket samt vilka de ekonomiska konsekvenserna kan komma att bli. Underliggande data i undersökningen är tillhandahållen av banken. Två typer av risk är analyserade; gamma-risk och vega-risk. Resultatet visar att det var vega-risken som driver kapitaltäckningen inom ”icke-delta”-risker för den studerade tidsperioden. Vega-risken drivs av optioner med höga lösenpriser, långa tider kvar till lösendatumet samt hög volatilitet hos den underliggande tillgången.

Abstract [en]

This thesis investigates the impact of the new capital requirement directive (CRD IV Corep) on a Swedish bank with regards to market risk. The study is limited to non-delta risks for stock options. The purpose of this paper is to investigate which parameters that drives the capital requirement in the new regulation and possible economic implications. The underlying data in this study is provided by the bank. Two types of risk are analyzed; gamma risk and vega risk. The results show that vega risk drives the capital requirement within non-delta risks for the studied time period. Vega risk is driven by options with high strike prices, long time left to maturity and high implied volatility of the underlying asset.

Place, publisher, year, edition, pages
2014.
Series
TRITA-MAT-K, 2014:05
National Category
Mathematical Analysis
Identifiers
URN: urn:nbn:se:kth:diva-146894OAI: oai:DiVA.org:kth-146894DiVA: diva2:726205
Subject / course
Mathematical Statistics
Educational program
Master of Science in Engineering - Industrial Engineering and Management
Supervisors
Examiners
Available from: 2014-06-17 Created: 2014-06-17 Last updated: 2014-06-17Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
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  • asciidoc
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