Institute of Mathematics for Industry

Seminar



List All(1063) Today and tomorrow's seminars(1)

Term structure model for bank risk management


Hold Date 2012-10-17 16:45~2012-10-17 17:45

Place Lecture Room L-1 (3F, IMI, Kyushu University)

Object person  

Speaker Takashi YASUOKA (Graduate School of Engineering Management(MOT), SHIBAURA INSTITUTE OF TECHNOLOGY)

The IMI Colloquium in October
 
Date:Wednesday, 17 October 2012
         16:00- tea time (at common room)
         16:45-17:45 lecture
Place:Lecture Room L-1 (3F, IMI, Kyushu University)
Speaker:Takashi YASUOKA
Graduate School of Engineering Management(MOT), SHIBAURA INSTITUTE OF TECHNOLOGY
 
Title:Term structure model for bank risk management
 
Abstract:
All banks and insurance companies face interest rate risk.
With this issue, a term structure model, which originally has
been developed for derivative pricing, is applicable for stochastic
interest rate scenario simulation. From the mathematical viewpoint,
we shall explain a fundamental problem to apply the term structure
you some numerical simulation technologies on acoustic model for
the scenario simulation, and introduce some recent works.
 

IMI Colloquium Report