Sökning: "Katja Dalne"
Hittade 2 uppsatser innehållade orden Katja Dalne.
1. The Performance of Market Risk Models for Value at Risk and Expected Shortfall Backtesting : In the Light of the Fundamental Review of the Trading BookMaster-uppsats, KTH/Matematisk statistik
Sammanfattning : The global financial crisis that took off in 2007 gave rise to several adjustments of the risk regulation for banks. An extensive adjustment, that is to be implemented in 2019, is the Fundamental Review of the Trading Book (FRTB). LÄS MER
2. Validation Techniques for Credit Risk Models - Applying New Methods on Nordea’s Corporate PortfolioKandidat-uppsats, KTH/Skolan för teknikvetenskap (SCI)
Sammanfattning : Nordea, being the largest corporate group of its kind in Northern Europe, hasa great need of evaluating its customers ability to repay a debt as well as theprobability of bankruptcy. The evaluation is done by different statistically derivedinternal rating models, based on logistic regression. LÄS MER
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