Sökning: "Managing Credit Risk"

Visar resultat 1 - 5 av 19 uppsatser innehållade orden Managing Credit Risk.

1. 1. A Study of Risk Factor Models: Theoretical Derivations and Practical Applications

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Yuanlin Dong; [2023]
   Nyckelord :interest rates; foreign exchange rates; models; counterparty credit risk; räntor; valutakurser; modeller; motpartsrisk;

   Sammanfattning : This thesis provides an end-to-end picture of the modelling of interest rates and Foreign Exchange (FX) rates. We start by defining the FX rates and the interest rates. After having a good understanding of the basics, we take a deep dive into the approaches commonly used to model interest rates and FX rates respectively. LÄS MER

3. 2. Credit Exposure Modelling Using Differential Machine Learning

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Måns Karp; Samuel Wagner; [2023]
   Nyckelord :Counterparty credit risk; Differential machine learning; Exposure modelling; Heston model; Option pricing; Mathematics and Statistics;

   Sammanfattning : Exposure modelling is a critical aspect of managing counterparty credit risk, and banks worldwide invest significant time and computational resources in this task. One approach to modelling exposure involves pricing trades with a counterparty in numerous potential future market scenarios. LÄS MER

4. 3. A Correlation Study on the Relationship between Credit Default Swap (CDS) Spreads and ESG Sentiment in the Banking Sector

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Mattias Olsson; Shabier Stanakzai; [2023]
   Nyckelord :ESG; Sentiment; CDS spreads.; Business and Economics;

   Sammanfattning : This study examines the influence of online ESG sentiment on credit market price movement in the banking sector. By employing a panel regression model with fixed effect for firms and time, the study’s findings indicate an inverse relationship between online ESG sentiment and CDS spread in accordance, to some extent, with previous literature. LÄS MER

5. 4. Application of the Merton Model and the Altman Z-score Model in Credit Risk Assessment - an Empirical Study on Chinese Listed Companies

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Runzhou Chen; Hongzhe Fu; [2023]
   Nyckelord :Credit risk assessment; the Merton Model; The Altman Z-score model; Chinese market; Business and Economics;

   Sammanfattning : Corporate default poses significant risks to investors and stakeholders, highlighting the importance of predicting and managing financial risk effectively. When the geographical scope is narrowed down to China, the unique characteristics of the Chinese market, such as the lack of comprehensive credit risk databases and the influence of state-owned enterprises and small-medium enterprises, present challenges in accurately assessing creditworthiness. LÄS MER

7. 5. Optimization of Collateral Allocation for Corporate Loans : A nonlinear network problem minimizing the expected loss in case of default

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Sofia Grägg; Paula Isacson; [2022]
   Nyckelord :Nonlinear optimization; network problem; transportation problem; Markowitz; credit risk; Loss Given Default; Loan to Value; collateral management; many-to-many relations; modern portfolio theory; expected loss; risk management; optimization; allocation; portfolio; modeling; Icke-linjär optimering; nätverksproblem; transportproblem; Markowitz; kreditrisk; förlust givet fallisemang; belåningsgrad; säkerhetshantering; många-till-många relationer; modern portföljteori; förväntad förlust; riskhantering; optimering; allokering; portfölj; modellering.;

   Sammanfattning : Collateral management has become an increasingly valuable aspect of credit risk. Managing collaterals and constructing accurate models for decision making can give any lender a competitive advantage and decrease overall risks. LÄS MER