Sökning: "Alma Broström"

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  1. 1. To Measure Concentration Risk - A comparative study

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Alma Broström; Hanna Scheibenpflug; [2017]
    Nyckelord :Multi factor adjustment; Pykhtin; Partial Portfolio Approach; capital requirement; Monte Carlo; name concentration; sector concentration; Credit concentration risk; Mathematics and Statistics;

    Sammanfattning : Credit risk is one of the largest risks facing a bank and following the Basel regulations, banks are expected to hold capital to protect themselves against credit risk. This thesis aims to evaluate models to calculate the capital requirement for credit concentration risk and compare them to the models suggested by Finansinspektionen. LÄS MER