Sökning: "measuring credit risk"
Visar resultat 1 - 5 av 16 uppsatser innehållade orden measuring credit risk.
1. Modelling Proxy Credit Cruves Using Recurrent Neural Networks
Master-uppsats, KTH/Matematisk statistikSammanfattning : Since the global financial crisis of 2008, regulatory bodies worldwide have implementedincreasingly stringent requirements for measuring and pricing default risk in financialderivatives. Counterparty Credit Risk (CCR) serves as the measure for default risk infinancial derivatives, and Credit Valuation Adjustment (CVA) is the pricing method used toincorporate this default risk into derivatives prices. LÄS MER
2. A multi-gene symbolic regression approach for predicting LGD : A benchmark comparative study
Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistikSammanfattning : Under the Basel accords for measuring regulatory capital requirements, the set of credit risk parameters probability of default (PD), exposure at default (EAD) and loss given default (LGD) are measured with own estimates by the internal rating based approach. The estimated parameters are also the foundation of understanding the actual risk in a banks credit portfolio. LÄS MER
3. Expect the Unexpected: Measuring Noise & Bias in the Credit Assessment Process
Kandidat-uppsats, Lunds universitet/Företagsekonomiska institutionenSammanfattning : The purpose of the thesis is to measure how bias impacts loan officers’ decision-making upon assessing mortgage applications and the level of noise embedded within the process. Quantitative data were collected from 15 loan officers working at three different branches at Handelsbanken answering a questionnaire based on fictional mortgage applications. LÄS MER
4. Modern Credit Value Adjustment
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : Counterparty risk calculations have gained importance after the latest financial crisis. The bankruptcy of Lehman Brothers showed that even large financial institutiones face a risk of default. Hence, it is important to measure the risk of default for all the contracts written between financial institutions. LÄS MER
5. The Relationship between United Nations’ 17 Sustainable Development Goals and Swedish Banks’ Credit Rating of Manufacturing Customers
Master-uppsats, KTH/Skolan för industriell teknik och management (ITM)Sammanfattning : The sustainable development of the section providing financing within Swedish banks are going through major challenges and changes. The United Nations is constantly working on improving sustainable directives within all industries to ultimately reach all 17 sustainable development goals that have been set up for a more sustainable world. LÄS MER