Sökning: "Risk Weighted Assets RWA ."
Hittade 3 uppsatser innehållade orden Risk Weighted Assets RWA ..
1. Strategic optimization of a global bank capital management using statistical methods on open data
Master-uppsats, KTH/Matematisk statistikSammanfattning : This project is about the optimization of the capital management of a French global bank. Capital management corresponds here to allocating the available capital to the different business units. LÄS MER
2. Modelling Credit Risk: Estimation of Asset and Default Correlation for an SME Portfolio
Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistikSammanfattning : When banks lend capital to counterparties they take on a risk, known as credit risk which traditionally has been the largest risk exposure for banks. To be protected against potential default losses when lending capital, banks must hold a regulatory capital that is based on a regulatory formula for calculating risk weighted assets (RWA). LÄS MER
3. Pricing contingent convertible bonds: A numerical implementation with the hybrid equity-credit model
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : The contingent convertible (CoCo) bond is a loss-absorbing instrument which can be converted mandatorily to common equity when a trigger event happens, such as the bookvalue trigger and the discretionary trigger. The book-value trigger means that once the capital ratio hits the pre-specified threshold, the equity conversion will be activated. LÄS MER