Sökning: "Yaxum Cedeno"

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  1. 1. 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 statistik

    Författare :Yaxum Cedeno; Rebecca Jansson; [2018]
    Nyckelord :Basel Capital Accord; Capital Requirements; SME; Portfolio Credit Risk; Monte-Carlo Simulations; Risk Weighted Assets RWA .; BaselKapitalavtal; Kapitalkrav; SME; PortföljKreditrisk; Monte-Carlo Simuleringar; Riskvägda Tillgångar RWA .;

    Sammanfattning : 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