Sökning: "nancial institutions"

Visar resultat 1 - 5 av 10 uppsatser innehållade orden nancial institutions.

  1. 1. Optimal financial resources for Central Counterparties: Introducing default dependence of clearing members: a mixed binomial approach

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Leonardo Di Geronimo; [2019-07-02]
    Nyckelord :Central Counterparties; Risk Management; Merton Model; Mixed Binomial Model; Merton Mixed Binomial Model; Initial Margin; Default Fund;

    Sammanfattning : Central counterparties (CCPs) are ˝nancial intermediaries consisting of clearing members trading ˝nancial derivatives between each other. In a ˝nancial network, CCPs become the buyer to every seller and the seller to every buyer. LÄS MER

  3. 2. 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. 3. Central Counterparties. A Numerical Implementation of the Default Waterfall

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Karl Ejvegård; Christian Romaniello; [2016-09-21]
    Nyckelord :Risk Management; Central Counterparty; Risk; Stochastic Models; Monte Carlo Simulation; Mixed Binomial Models; Interest Rate Swap;

    Sammanfattning : This thesis studies so called Central Counterparties (CCP), nancial institutions which consist of clearing members, such as large banks. CCPs have the role of centralizing, mutualizing and reducing counterparty risk, by acting as an intermediate in nancial transactions. LÄS MER

  5. 4. Information Asymmetry and Discretionary Accounting in European Banks

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Simon Eliasson; [2016-09-15]
    Nyckelord :Information asymmetry; discretionary accounting; earnings management; capital markets; nancial institutions;

    Sammanfattning : Recent theoretical research suggests that information risk is a non-diversifiable risk factor and should therefore affect the cost of capital of the individual firm. This study investigates this notion for listed European banks during the period 2005-2015. LÄS MER

  7. 5. Absolute & Relative Credit Quality Assessment

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Mattias Karlsson; Svante Dieden Sandell; [2016]
    Nyckelord :Credit Quality Assessment; Default Bankruptcy Prediction; Altman Z-score; Ohlson O-score; Logistic Regression; Rare-Event Bias Correction.; Mathematics and Statistics;

    Sammanfattning : The lack of availability and relevance of both credit ratings and traded market instruments, forces nancial institutions to nd alternative ways to validate the credit qualities of their counterparties. To address this issue, existing bankruptcy prediction models are evaluated and re-estimated. LÄS MER