Sparse Gaussian Processes in the Longstaff-Schwartz algorithm

In financial applications it is often necessary to determine conditional expectations in Monte Carlo type of simulations. The industry standard at the moment relies on linear regression, which is characterized by the inconvenient problem of having to choose the type and number of basis functions used to build the model, task which is made harder...

Modelling of Financial Contracts Production in the Employer’s Market: Relationship between performance and production of new financial contracts

This thesis is a research into the relationship between performance and sales of new financial contracts of financial products providers in the employer’s market. This thesis is written in collaboration with IG&H Consulting. Combining the performance scores given by advisors on financial providers and the production of new contracts over the...

A battle of pooled and panel data in credit risk modelling

When dealing with datasets where the observations are obtained from the same cross-sectional units at multiple time points, most of the times, heterogeneity arises across he cross-sectional units. If one ignores this heterogeneity, assuming that the data are pooled, the parameters estimations run the risk of being inconsistent. This thesis...

Feasibility test for Defined Contribution pension schemes

In the Netherlands Dutch pension funds perform the feasibility test. This test is originally designed for DB pension schemes. Nowadays DC pension schemes are getting a more prominent role in the Dutch pension system. Therefore an improved design of the feasibility test for DC pension schemes would be beneficial. In this research we search for a...

Modelling Low Default Portfolios

This thesis is on the subject of modelling the probability of default in a low default portfolio. In these portfolios there is a high risk of underestimating the true probability of default. Two models are considered, a Gaussian one factor model and a Poisson model with Gamma mixture. Classical estimation methods as the maximum likelihood are...

Tail Risk in Cryptocurrencies

In this research, the returns of four cryptocurrencies (Bitcoin, Litecoin, Ripple and Ethereum) were analyzed in order to answer the following research question: “How do the returns of Bitcoin and other altcoins behave over time, and what can we say about extreme values for losses and profits?” With respect to volatility, cryptocurrencies can...

Modelling Terrorist Attacks

This thesis adds to quantitative literature on terrorism by examining the relationship between various annual country statistics and the number of terrorist attacks. In addition, it assesses the potential of forecasting terrorism. Combining an extensive review of literature from social science, with data analysis of the Global Terrorism Database...

Credit scoring for small medium enterprises using transaction data

Managing credit risk is a vital part of financial institutions. While the research into credit risk models is extensive, transaction data is a relatively untapped data source in these models. We investigate the explanatory value of transaction data for the Bank by developing default classification models for their small medium enterprises (SME)...

Market consistent valuation of deferred taxes

This thesis develops a continuous time framework to value deferred taxes using<br/>Black and Scholes (1973) type option pricing techniques. The valuation renders a<br/>market consistent pricing procedure, which avoids the necessity of subjective accounting principles. Our framework is flexible enough to value deferred taxes like carry forward,...

Valuation and Hedging of Correlation Swaps

The aim of this thesis is to provide a formula for the value of a correlation swap. To get to this formula, a model from an article by Bossu is inspected and its resulting expression for fair the fair value of a correlation swap is simulated. The Jacobi process will be defined and two discretization schemes will be compared for it. Methods are...

Pricing of Non-Life Insurance Products

A medium size Dutch insurance company with third-party car insurance products initiated questions on whether the premium can be based on a statistical analysis where the expected future liabilities are taken into account. These questions are as follows:<br/>• Which statistical models can be used to base the premiums on expected future...

Understanding Terrorist Activity: Is Agent-Based Modelling a viable solution?

In this report an Agent-Based Model created by Bulleit and Drewek used for analysing terrorist attacks will be implemented and compared with reality. <br/><br/>First the implementation of the model is explained based on different articles written by Bulleit and Drewek. After that the data of the simulations are analysed statistically. In this...