Sökning: "basel"

Visar resultat 6 - 10 av 267 uppsatser innehållade ordet basel.

  1. 6. Non-parametricbacktesting of expected shortfall

    Master-uppsats, KTH/Matematisk statistik; KTH/Matematisk statistik

    Författare :Patrik Edberg; Benjamin Käck; [2017]
    Nyckelord :Backtesting Expected Shortfall; Non-parametric; Backtesting under Basel III; Backtesting under Fundamental review of the trading book.;

    Sammanfattning : Since the Basel Committee on Banking Supervision first suggested a transition to Expected Shortfall as the primary risk measure for financial institutions, the question on how to backtest it has been widely discussed. Still, there is a lack of studies that compare the different proposed backtesting methods. LÄS MER

  2. 7. Fundamental review of the trading book - The new approach to measure market risk

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Jonas Drakenberg; Samuel Hegnell; [2017]
    Nyckelord :Expected Shortfall; Value-at-Risk; Fundamental Review of the Trading Book; Bank for International Settlements; Basel Committee on Banking Supervision; Market risk; Parametric approach; Non-parametric approach; Business and Economics;

    Sammanfattning : The Fundamental Review of the Trading Book sets the standard for the most recent regulatory framework for minimum capital requirement within market risk. It will be implemented gradually up until 2019 and will overhaul a major part of the current regulation. LÄS MER

  3. 8. Estimation of Probability of Default in Low Default Portfolios

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Linnéa Gerhardsson; Nina Castor; [2017]
    Nyckelord :Probability of default; PD; Low default portfolio; LDP; BCR; Bayesian; Vasicek; Monte Carlo; subportfolios; grade level estimates.; Mathematics and Statistics;

    Sammanfattning : Estimation of probability of default (PD) is a fundamental part of credit risk modeling, and estimation of PD in low default portfolios is a common issue for banks and financial institutions. The Basel Committee on Banking Supervision requires banks and financial institutions to add an additional margin of conservatism to its PD estimates in the case of insufficient data, as in low default portfolios with few default observations. LÄS MER

  4. 9. The Authorised OECD Approach and the Attribution of Profit to Banks´PEs : How far is the functionally separate entity approach fully achievable?

    Magister-uppsats, Uppsala universitet/Juridiska institutionen

    Författare :Davide Baldi; [2017]
    Nyckelord :AOA; PE; bank; banks; separate entity; FSEA; attribution of profit; authorised OECD approch; OECD; Basel; tax distortion;

    Sammanfattning : This thesis´ aim is to analyse the extension of the fuctionally separate entity approach  (FSEA) used in order to attribute a proper amount of profit to banks´ permanet establishment (PE) and the related implication in the authorised OECD approach (AOA). From a general perspective in fact, under the FSEA a PE is treated as being a separate entity from the head office, functions, assets, risks and funding shall be attributed as it was a separate legal entity. LÄS MER

  5. 10. Har Sveriges storbanker blivit säkrare?

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Anton Ljung; [2017]
    Nyckelord :Kapitaltäckning; Basel-III; Credit Default Swap spread; Volatilitet; Business and Economics;

    Sammanfattning : Syftet med denna studie är att undersöka om marknadsrisken för de fyra svenska storbankerna har minskat i och med ökad kapitaltäckning. Finansiell teori implicerar att höjd kapitaltäckning bör resultera i minskad risk i aktiepriset. LÄS MER


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