Factor Analysis of Interest Rete/Foreign Exchange Rate Stochastic Model for Interest Rate Risk and Currency Risk Economic Capital Evaluation

Student: Kuznetsov Aleksandr

Educational Programme: Financial Technology and Data Analysis (Master)

Year of Graduation: 2020

Interest rate risk and currency risk economic capital is an important risk metric for banks. This metric is evaluated regularly and its value depends on variety of external and internal factors. In this work approach for factor analysis of changes of economic capital and interest rate and exchange rate shocks, for which it was evaluated, is proposed. This approach is based on sampling of parameters sets of interest rate and exchange rate stochastic models and applying linear regression algorithm for estimating effects of each of these model parameters.

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses