Tid: 1 juni 2016 kl 13.30-14.00.

Föredragshållare: Oskar Kallur (Master Thesis)

Titel: On the use of Value-at-Risk based models for the Fixed Income market as a risk measure for Central Counterparty clearing

Abstract In this thesis the use of VaR based models are investigated for the purpose of setting margin requirements for Fixed Income portfolios. VaR based models has become one of the standard ways for Central Counterparties to determine the margin requirements for different types of portfolios. However there are a lot of different ways to implement a VaR based model in practice, especially for Fixed Income portfolios. The models presented in this thesis are based on Filtered Historical Simulation (FHS). Furthermore a model that combines FHS with a Student's t copula to model the correlation between instruments in a portfolio is presented. All models are backtested using historical data dating from 1998 to 2016. The FHS models seems to produce reasonably accurate VaR estimates. However there are other market related properties that must be fulfilled for a model to be used to set margin requirements. These properties are investigated and discussed.

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