Sökning: "Credit risk modeling"
Visar resultat 1 - 5 av 23 uppsatser innehållade orden Credit risk modeling.
1. Estimation of Loss Given Default Distributions for Non-Performing Loans Using Zero-and-One Inflated Beta Regression Type ModelsMaster-uppsats, KTH/Matematisk statistik; KTH/Matematisk statistik
Sammanfattning : This thesis investigates three different techniques for estimating loss given default of non-performing consumer loans. This is a contribution to a credit risk evaluation model compliant with the regulations stipulated by the Basel Accords, regulating the capital requirements of European financial institutions. LÄS MER
- Master-uppsats, KTH/Matematisk statistik
Sammanfattning : In this paper, Monte Carlo simulation for CCR (Counterparty Credit Risk) modeling is investigated. A jump-diffusion model, Bates' model, is used to describe the price process of an asset, and the counterparty default probability is described by a stochastic intensity model with constant intensity. LÄS MER
- Master-uppsats, Göteborgs universitet/Graduate School
Sammanfattning : MSc in Finance.... LÄS MER
4. Readjusting Historical Credit Ratings : using Ordered Logistic Regression and Principal ComponentAnalysisUppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik; Umeå universitet/Institutionen för matematik och matematisk statistik
Sammanfattning : Readjusting Historical Credit Ratings using Ordered Logistic Re-gression and Principal Component Analysis The introduction of the Basel II Accord as a regulatory document for creditrisk presented new concepts of credit risk management and credit risk mea-surements, such as enabling international banks to use internal estimates ofprobability of default (PD), exposure at default (EAD) and loss given default(LGD). These three measurements is the foundation of the regulatory capitalcalculations and are all in turn based on the bank’s internal credit ratings. LÄS MER
- Master-uppsats, Lunds universitet/Matematisk statistik
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