Sökning: "macroeconomic factors and probability of default"

Visar resultat 1 - 5 av 9 uppsatser innehållade orden macroeconomic factors and probability of default.

  1. 1. BNPL Probability of Default Modeling Including Macroeconomic Factors: A Supervised Learning Approach

    Master-uppsats, KTH/Matematisk statistik

    Författare :Patrik Hardin; Robert Ingre; [2021]
    Nyckelord :Buy Now Pay Later; IFRS 9; Probability of Default; Expected Credit Loss; Macroeconomic factors; Machine Learning; Artificial Neural Network; XGBoost;

    Sammanfattning : In recent years, the Buy Now Pay Later (BNPL) consumer credit industry associated with e-commerce has been rapidly emerging as an alternative to credit cards and traditional consumer credit products. In parallel, the regulation IFRS 9 was introduced in 2018 requiring creditors to become more proactive in forecasting their Expected Credit Losses and include the impact of macroeconomic factors. LÄS MER

  3. 2. STRESS TESTING AN SME PORTFOLIO : Effects of an Adverse Macroeconomic Scenario on Credit Risk Transition Matrices

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Siri Almqvist; Oskar Nordin; [2021]
    Nyckelord :Stress test; SME; Transition Matrix; Credit Risk; Statistical Analysis; Machine Learning;

    Sammanfattning : The financial crisis of 2007-2008 was a severe global crisis causing a worldwide recession. One of the main contributing factors of the crisis was the excessive risk appetite of banks and financial institutions. LÄS MER

  4. 3. Macroeconomic factors in Probability of Default : A study applied to a Swedish credit portfolio

    Master-uppsats, KTH/Skolan för industriell teknik och management (ITM)

    Författare :Hermina Antonsson; [2018]
    Nyckelord :Macroeconomic factors; Probability of Default; IFRS 9; credit risk; mortgage loans; Makroekonomiska faktorer; Probability of Default; IFRS 9; kreditrisk; bolån;

    Sammanfattning : Macroeconomic conditions can impact the payment capacity of individual mortgage holders' household loans. If the clients of a bank's retail credit portfolio experience deteriorating paymentcapacity it will reflect on the probability of default of the overall portfolio. LÄS MER

  5. 4. Credit Risk Management in Absence of Financial and Market Data

    Master-uppsats, KTH/Matematisk statistik

    Författare :Sepehr Yousefi; [2016]
    Nyckelord :;

    Sammanfattning : Credit risk management is a significant fragment in financial institutions' security precautions against the downside of their investments. A major quandary within the subject of credit risk is the modeling of simultaneous defaults. LÄS MER

  7. 5. The Exposure of the Nordic Banking Sector against Global Macroeconomic Factors - A Time Series Study on Probability of Default

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Aleksandra Sarmes; Johan Lundström; [2016]
    Nyckelord :Probability of default; z-score models; banking sector; Nordics; global factors; macroeconomy; Business and Economics;

    Sammanfattning : Business cycles and changes in macroeconomic variables can have a huge influence on the profitability and credit exposure of an individual bank. Consequently, they affect the risk profile of a given bank. LÄS MER