Tid: 15 juni 2009 kl 15.15-16.00

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Jonas Larsson

Titel: Risk analysis of structured products (Examensarbete – Master thesis)

Abstract

During the last decade investors' interest in Structured products, especially Equity-Linked Notes(ELN), has increased dramatically. An ELN is a debt instrument which differs from a typical fixed-income security in that the final payout is based partly on the return of an underlying equity, in this case the Swedish equity index OMXS30. The ELN is specified as a portfolio of a bond and a call option on the index. This thesis investigates the risks with investing in an ELN on the Swedish market, and also compares the ELN to investing in portfolios of different combinations of the bond and the index. The risks are measured using Value-at-Risk and Expected Shortfall with three different approaches; Historical simulation, analytical solution and Monte Carlo simulation. The ELN is found to have a risk profile that varies significantly with changing market conditions. Though, the major setbacks of the ELN seem to be the risk of losing the interest rate and the high upfront fee charged, and the difficulty to easily adjust the portfolio composition.

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