Sökning: "Default risk"

Visar resultat 21 - 25 av 282 uppsatser innehållade orden Default risk.

1. 21. Copula Modelling of High-Dimensional Longitudinal Binary Response Data

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Nils Henningsson; [2022]
   Nyckelord :Copula; latent model; variational inference; Copula; latent modell; variational inference;

   Sammanfattning : This thesis treats the modelling of a high-dimensional data set of longitudinal binary responses. The data consists of default indicators from different nations around the world as well as some explanatory variables such as exposure to underlying assets. LÄS MER

3. 22. PEPP Talk: The Impact of the ECB's Pandemic Emergency Purchase Programme on the Corporate Bond Market

   Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

   Författare :Lorenzo Gianni Günther; Emma Lundblad; [2022]
   Nyckelord :Quantitative Easing; The European Central Bank; The Pandemic Emergency Purchase Programme; Corporate Bonds; Covid-19; Credit Spread; Business and Economics;

   Sammanfattning : Purpose: This thesis aims to evaluate whether the ECB’s Pandemic Emergency Purchase Programme (PEPP) cushioned the Covid-19 crisis’ impact on the Euro area’s corporate bond market and relieved borrowing conditions. Methodology: The methodology is based upon unbalanced panel data and difference-in-differences regressions with firm-clustered standard errors. LÄS MER

4. 23. Optimization of Collateral Allocation for Corporate Loans : A nonlinear network problem minimizing the expected loss in case of default

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Sofia Grägg; Paula Isacson; [2022]
   Nyckelord :Nonlinear optimization; network problem; transportation problem; Markowitz; credit risk; Loss Given Default; Loan to Value; collateral management; many-to-many relations; modern portfolio theory; expected loss; risk management; optimization; allocation; portfolio; modeling; Icke-linjär optimering; nätverksproblem; transportproblem; Markowitz; kreditrisk; förlust givet fallisemang; belåningsgrad; säkerhetshantering; många-till-många relationer; modern portföljteori; förväntad förlust; riskhantering; optimering; allokering; portfölj; modellering.;

   Sammanfattning : Collateral management has become an increasingly valuable aspect of credit risk. Managing collaterals and constructing accurate models for decision making can give any lender a competitive advantage and decrease overall risks. LÄS MER

5. 24. The Impact of Mergers & Acquisitions on Credit- and Investment risk. : -Evidence from Sweden

   Magister-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

   Författare :Casper Dahlberg; Max Lundberg; [2022]
   Nyckelord :Mergers Acquisitions; M A; Credit Risk; Investment Risk; Default Risk; The Institutional Imperative; Merton’s Distance-to-Default model; Merton’s DD; Value-at-Risk; VaR; Tail risk.;

   Sammanfattning : We examine the impact of Mergers & Acquisitions on credit- and investment risk using a sample of 402 acquisitions by 215 Swedish firms from 2000 to 2020. We find significant evidence that, on average, M&A increases the credit risk and inversely decreases the investment risk of the acquiring firm. LÄS MER

7. 25. A comparison of the Basel III capital requirement models for financial institutions

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Sara Johannesson; Amanda Wahlberg; [2022]
   Nyckelord :Basel III; Internal Model Method IMM ; Standardized Approch for Counterparty Credit Risk SA-CCR ; Counterparty Credit Risk; Capital Requirement; Mathematics and Statistics;

   Sammanfattning : The purpose of this report is to implement and compare the two Basel III standard methods on how to calculate the capital requirement for finan- cial institutions, related to counterparty credit risk. The models being the Standardized Approach for Counterparty Credit Risk (SA-CCR) and the Internal Model Method (IMM). LÄS MER