Sökning: "Samuel Storkitt"

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  1. 1. Estimation of Loss Given Default for Low Default Portfolios

    Master-uppsats, KTH/Matematisk statistik

    Författare :Fredrik Dahlin; Samuel Storkitt; [2014]
    Nyckelord :;

    Sammanfattning : The Basel framework allows banks to assess their credit risk by using their own estimates of Loss Given Default (LGD). However, for a Low Default Portfolio (LDP), estimating LGD is difficult due to shortage of default data. LÄS MER