Sökning: "Pykhtin"

Hittade 2 uppsatser innehållade ordet Pykhtin.

1. 1. 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 statistik

   Författare :Michael Zanetti; Philip Güzel; [2023]
   Nyckelord :Credit risk; Value at Risk; Expected Shortfall; Monte Carlo simulation; Advanced Internal Rantings-Based models; Kreditrisk; Value at Risk; Expected Shortfall; Monte Carlo simulation; Advanced Internal Rantings-Based-modeller;

   Sammanfattning : 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

3. 2. To Measure Concentration Risk - A comparative study

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Alma Broström; Hanna Scheibenpflug; [2017]
   Nyckelord :Multi factor adjustment; Pykhtin; Partial Portfolio Approach; capital requirement; Monte Carlo; name concentration; sector concentration; Credit concentration risk; Mathematics and Statistics;

   Sammanfattning : Credit risk is one of the largest risks facing a bank and following the Basel regulations, banks are expected to hold capital to protect themselves against credit risk. This thesis aims to evaluate models to calculate the capital requirement for credit concentration risk and compare them to the models suggested by Finansinspektionen. LÄS MER