Sökning: "Exposure at Default"

Visar resultat 1 - 5 av 21 uppsatser innehållade orden Exposure at Default.

  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. A multi-gene symbolic regression approach for predicting LGD : A benchmark comparative study

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

    Författare :Hanna Tuoremaa; [2023]
    Nyckelord :Symbolic regression; loss given default; credit risk; logit transformed regression; beta regression; multi-gene genetic programming; regression tree;

    Sammanfattning : Under the Basel accords for measuring regulatory capital requirements, the set of credit risk parameters probability of default (PD), exposure at default (EAD) and loss given default (LGD) are measured with own estimates by the internal rating based approach. The estimated parameters are also the foundation of understanding the actual risk in a banks credit portfolio. LÄS MER

  4. 3. Iterative Evaluation and Control Methods for Disturbance Suppression on a High Precision Motion Servo

    Master-uppsats, Linköpings universitet/Institutionen för systemteknik

    Författare :Claes Thunberg; Klara Kastensson; [2023]
    Nyckelord :Iterative feedback tuning; Iterative learning control; high precision motion control; Iterative methods for disturbance supression;

    Sammanfattning : Moore’s law states that the number of transistors in an Integrated Circuit (IC) doubles every two years. Ever-increasing performance in mask writing machinery is therefore required being the first step in the manufacturing process. Many factors affect the quality of the end product, with the motion control system playing an important role. LÄS MER

  5. 4. A comparison of the Basel III capital requirement models for financial institutions

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Sara Johannesson; Amanda Wahlberg; [2022]
    Nyckelord :Basel III; Internal Model Method IMM ; Standardized Approch for Counterparty Credit Risk SA-CCR ; Counterparty Credit Risk; Capital Requirement; Mathematics and Statistics;

    Sammanfattning : The purpose of this report is to implement and compare the two Basel III standard methods on how to calculate the capital requirement for finan- cial institutions, related to counterparty credit risk. The models being the Standardized Approach for Counterparty Credit Risk (SA-CCR) and the Internal Model Method (IMM). LÄS MER

  7. 5. EVALUATION OF RADIATION DOSES USING CONE BEAM COMPUTED TOMOGRAPHY IN ENDOVASCULAR AORTIC REPAIR AND SCOLIOSIS PROCEDURES

    Master-uppsats,

    Författare :Louise Strandberg; [2021-04-06]
    Nyckelord :Medical physics; Cone beam CT; CT; EVAR; scoliosis; radiation dose; effective dose;

    Sammanfattning : Purpose: The study includes the two areas, vascular surgery and orthopedics, and focuses on endovascular aortic aneurysm repair (EVAR) and scoliosis procedures. EVAR procedures contribute to a high radiation dose to the patient and for scoliosis procedures, it is often young girls that are undergoing surgery. LÄS MER