Sökning: "Alex Gansmann"

Hittade 1 uppsats innehållade orden Alex Gansmann.

  1. 1. A semi-parametric Probability of Default model

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Can Ertan; Alex Gansmann; [2015]
    Nyckelord :Probability of Default; Cox Proportional Hazards Model; IFRS 9; Point-in-time; Time-varying macroeconomic covariates;

    Sammanfattning : With the implementation of IFRS 9, a new set of impairment rules will be effective as of 1st January 2018. We analyse alternative models for probability of default (PD) estimation that are in accordance with IFRS 9. In our model, PD is dependent on idiosyncratic firm-specific factors and systematic macroeconomic conditions. LÄS MER