Sökning: "Portfolio Credit Risk"
Visar resultat 1 - 5 av 78 uppsatser innehållade orden Portfolio Credit Risk.
1. Portfolio Risk Modelling in Venture Debt
Master-uppsats, KTH/Matematisk statistikSammanfattning : 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
2. Beyond Credit Ratings: The Role of (E)SG in Sovereign Debt Investments
C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : The study investigates the correlation between ESG performance and sovereign bond yield spreads using regression analysis. The results reveal a significant negative correlation between the Governance and Social indices and bond spreads, emphasising the importance of good governance practices and social stability in reducing the risk of sovereign debt default. LÄS MER
3. 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 statistikSammanfattning : 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
4. Credit Exposure Modelling Using Differential Machine Learning
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : 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
5. Simulation Based Methods for Credit Risk Management in Payment Service Provider Portfolios
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : Payment service providers have unique credit portfolios with different characteristics than many other credit providers. It is therefore important to study if common credit risk estimation methods are applicable to their setting. LÄS MER