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April 2009

Jacob Laading, MATH

Master of Science in Physics and Mathematics

Submission date:

Supervisor:

Norwegian University of Science and Technology Department of Mathematical Sciences

Contrasting broadly adopted model- based portfolio risk measures with current market conditions

Øystein Sand Koren

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Problem Description

The main objective of this thesis is to study the performance of market risk measures for a case portfolio before and during the financial turbulence in 2007-2008. A Monte Carlo simulation model will be implemented to estimate the risk measures. The accuracy of these estimates is to be analyzed and compared with the actual losses of the case portfolio.

Assignment given: 05. January 2009 Supervisor: Jacob Laading, MATH

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