Sökning: "Credit risk modeling"

Visar resultat 16 - 20 av 33 uppsatser innehållade orden Credit risk modeling.

  1. 16. Credit Risk Modeling and Implementation

    Master-uppsats, Umeå universitet/Institutionen för fysik

    Författare :Johan Gunnars; [2017]
    Nyckelord :CVA; CDS; hazard rate;

    Sammanfattning : The financial crisis and the bankruptcy of Lehman Brothers in 2008 lead to harder regulations for the banking industry which included larger capital reserves for the banks. One of the parts that contributed to this increased capital reserve was the the credit valuation adjustment capital charge which can be explained as the market value of the counterparty default risk. LÄS MER

  3. 17. Predicting Corporate Credit Ratings withMachine Learning Algorithms

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

    Författare :Ola Berger Bungum; [2017]
    Nyckelord :Credit ratings; machine learning; rating agencies; credit risk;

    Sammanfattning : This thesis investigates the performance of machine learning models in predicting long-term issuer credit ratings, relative to the that of traditional statistical modeling approaches. Our dataset consists of 3,992 ratings by S&P, Moody's and Fitch of American non-financial, non-governmental companies, in the period 1 January 2010 through 1 September 2016. LÄS MER

  4. 18. Modeling credit risk for an SME loan portfolio: An Error Correction Model approach

    Master-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Jonathan Lindgren; [2017]
    Nyckelord :Error Correction Model; Credit risk; Risk management; Regression; Econometrics; Mathematical analysis; Probability of Default; Loss Given Default; Finance; Mathematical modeling; Kreditrisk; Risk hantering; Finans; Ekonometri; Matematisk modellering; Sannolikhet för Fallissemang; Förlust givet Fallissemang;

    Sammanfattning : Sedan den globala finanskrisen 2008 har flera stora regelverk införts för att säkerställa att banker hanterar risker på sunt sätt. Bland dessa regelverk är Basel II som infört kapitalkrav för kreditrisk som baseras på Sannolikhet för Fallissemang och Förlust Givet Fallissemang. LÄS MER

  5. 19. Internal model for spread risk under Solvency II

    Master-uppsats, KTH/Matematisk statistik

    Författare :Filip Ahlin; [2017]
    Nyckelord :;

    Sammanfattning : In May 2009 the European Commission decided on new regulations regarding solvency among insurance firms, the Solvency II Directive. The directive aims to strengthen the connection between the requirement of solvency and risks for insurance firms. The directive partly consists of a market risk module, in which a credit spread risk is a sub category. LÄS MER

  7. 20. Fixed Income Modeling

    Master-uppsats, KTH/Matematisk statistik

    Författare :Othmane Chaqchaq; [2017]
    Nyckelord :;

    Sammanfattning : Besides financial analysis, quantitative tools play a major role in asset management. By managing the aggregation of large amount of historical and prospective data on different asset classes, it can give portfolio allocation solution with respect to risk and regulatory constraints. LÄS MER