Sökning: "Dynamic credit modelling"

Hittade 3 uppsatser innehållade orden Dynamic credit modelling.

  1. 1. Portfolio Risk Modelling in Venture Debt

    Master-uppsats, KTH/Matematisk statistik

    Författare :John Eriksson; Jacob Holmberg; [2023]
    Nyckelord :Startup Default Probability; Venture Debt; Gaussian Copula; Value-at-Risk; Expected Shortfall; Exposure at Default; Loss Given Default; Forecast; Linear Dynamic System; ARIMA Time Series; Monte Carlo Simulation; Linear Regression; Central Limit Theorem;

    Sammanfattning : This thesis project is an experimental study on how to approach quantitative portfolio credit risk modelling in Venture Debt portfolios. Facing a lack of applicable default data from ArK and publicly available sets, as well as seeking to capture companies that fail to service debt obligations before defaulting per se, we present an approach to risk modeling based on trends in revenue. LÄS MER

  3. 2. PROFITABILITY MODELLING FOR CREDIT MARKET COMPANY : MODELLING AND EVALUATION OF PROFITABILITY AND CREDIT RISK FOR LARGE CONTRACTS

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

    Författare :Mattias Kvarnerås; Viktor Pettersson; [2020]
    Nyckelord :Credit Risk; Credit; Modelling; Model; Profitability; Kreditrisk; Modell; Modellering; Lönsamhet;

    Sammanfattning : Risk and profitability are two topics that companies today have to face and deal with. There are different type of risks that either directly or indirectly affect the survival of a company. LÄS MER

  4. 3. Dynamic Credit Models : An analysis using Monte Carlo methods and variance reduction techniques

    Master-uppsats, KTH/Matematisk statistik

    Författare :Emelie Järnberg; [2016]
    Nyckelord :Credit risk; Dynamic credit modelling; Stochastic process; Monte Carlo; Importance sampling; Antithetic variates; Probability matrix method; Default probability; Default event; Variance reduction;

    Sammanfattning : In this thesis, the credit worthiness of a company is modelled using a stochastic process. Two credit models are considered; Merton's model, which models the value of a firm's assets using geometric Brownian motion, and the distance to default model, which is driven by a two factor jump diffusion process. LÄS MER