Sökning: "Credit concentration risk"

Visar resultat 1 - 5 av 13 uppsatser innehållade orden Credit concentration risk.

1. 1. Multi-factor approximation : An analysis and comparison ofMichael Pykhtin's paper “Multifactor adjustment”

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

   Författare :Michael Zanetti; Philip Güzel; [2023]
   Nyckelord :Credit risk; Value at Risk; Expected Shortfall; Monte Carlo simulation; Advanced Internal Rantings-Based models; Kreditrisk; Value at Risk; Expected Shortfall; Monte Carlo simulation; Advanced Internal Rantings-Based-modeller;

   Sammanfattning : The need to account for potential losses in rare events is of utmost importance for corporations operating in the financial sector. Common measurements for potential losses are Value at Risk and Expected Shortfall. These are measures of which the computation typically requires immense Monte Carlo simulations. LÄS MER

3. 2. Measurement of sectoral concentration with multiple factors

   Master-uppsats, Uppsala universitet/Statistiska institutionen

   Författare :Victor Norrbin; [2022]
   Nyckelord :Concentration risk; Sector concentration; Credit risk; Time series analysis; Principal component analysis; Monte carlo simulation; Multi-factor model;

   Sammanfattning : One of banks core businesses today is to, in various ways, lend capital to the market and in return receive interest rate. But giving out credit comes with great risk and, therefore, precautions need to be taken. It is impossible to forecast exactly which obligor (borrower) that will default on its exposure. LÄS MER

4. 3. Does competition in the EU banking market lead to lower interest margins? : A panel data analysis on how market competition affects banks interest margin across EU countries

   Kandidat-uppsats, Södertörns högskola/Nationalekonomi

   Författare :Daniel Henriksson; Anna Ottosson; [2021]
   Nyckelord :Bank; Interest margin; Market concentration; European Union; Bank; Räntemarginal; Marknadskoncentration; Europeiska unionen;

   Sammanfattning : This study analyses the bank market competition and bank interest margins in the European Union member countries banking sector during the period 2007–2019, using panel data analysis and aggregated data for each country ́s banking sector. Our starting point is the theory about market structure and two structural indexes are used as proxies of the degree of market competition. LÄS MER

5. 4. Agency costs of debt : En studie över bolagsstrukturens påverkan på företagens räntekostnad vid extern skuldfinansiering 

   Magister-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

   Författare :Viktor Karlsson; Fredrik Malmgren; [2020]
   Nyckelord :Agency cost of debt; interest rate; ownership concentration; surveillance; external auditor; independent board members; the board of directions as a monitor; big4.; agentkostnader vid extern skuldfinansiering; räntekostnad; ägarkoncentration; övervakning; extern revisor; oberoende styrelseledamöter; styrelsen som övervakare; big4.;

   Sammanfattning : Bakgrund: Privata företag förväntas ha färre finansieringsmöjligheter än publika börsnoterade företag, vilket gör privata företag mer begränsade till extern skuldfinansiering från kreditinstitut. Kostnaden för den externa skuldfinansieringen påverkas av kreditgivarens riskbedömning och det kontrollbehov som bland annat uppstår på grund av agentkonflikten mellan långivare och låntagare. LÄS MER

7. 5. Consolidating Multi-Factor Models of Systematic Risk with Regulatory Capital

   Master-uppsats, KTH/Matematisk statistik

   Författare :Henrik Ribom; [2018]
   Nyckelord :Economic Capital; Regulatory Capital; Basel Pillar II; Systematic Risk; Ekonomisk kapital; Regulatoriskt kapital; Basel pelare II; Systematisk risk;

   Sammanfattning : To maintain solvency intimes of severe economic downturns banks and financialinstitutions keep capital cushions that reflect the risks in the balance sheet.Broadly,how much capital that is being held is a combination of external requirementsfromregulators and internal assessments of credit risk. LÄS MER