Sökning: "Arvid Rönnblom"

Hittade 1 uppsats innehållade orden Arvid Rönnblom.

  1. 1. Assesing counterparty risk classification using transition matrices : Comparing models' predictive ability

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Sebastian Pörn; Arvid Rönnblom; [2017]
    Nyckelord :Transition Matrices; Probability of default; Credit risk; one- parameter model; ordered probit model.;

    Sammanfattning : An important part when managing credit risk is to assess the probability of default of different counterparties. Increases and decreases in such probabil- ities are central components in the assessment, and this is where transition matrices become useful. LÄS MER