Sökning: "European Banking Authority EBA"

Visar resultat 1 - 5 av 9 uppsatser innehållade orden European Banking Authority EBA.

  1. 1. Increasing explainability of neural network based retail credit risk models

    Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Författare :Anton Evilevitch; [2023]
    Nyckelord :Explainability; Artificial Neural Network; Mortgage Credit Risk Modeling; Förklarbarhet; Artificiella Neurala Nätverk; Modellering av Hypotekskreditrisk;

    Sammanfattning : Due to their ’black box’ nature, Artificial Neural Networks (ANN) are not permitted for use in various applications. One such application is mortgage credit risk modeling. LÄS MER

  3. 2. Modeling Interest Rate Risk in the Banking Book

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Måns Ulmgren; [2022]
    Nyckelord :applied mathematics; IRRBB; Nelson Siegel; yield curve; tillämpad matematik; IRRBB; Nelson Siegel; avkastningskurva;

    Sammanfattning : For a long time, being able to model and mitigate financial risk has been a key success factor for institutions. Apart from an internal incentive, legal and regulatory requirements continue to develop which increases the need for extensive internal risk control. LÄS MER

  4. 3. The Corona Crisis as Ultimate Stress Test- Market Reaction to EBA´s 2020 Stress Test Postponement

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

    Författare :Mishale Zahn; [2021]
    Nyckelord :EBA Stress Test; Financial Stability; Resilience; Bank Regulation; COVID-19;

    Sammanfattning : In response to the COVID-19 outbreak, the European Banking Authority (EBA) decided to postpone its biennial 2020 stress test to 2021. The supervisory exercise was supposed to answer whether banks have sufficient capital to withstand the impact of a global economic recession. LÄS MER

  5. 4. IRRBB in a Low Interest Rate Environment

    Master-uppsats, KTH/Matematisk statistik

    Författare :Simon Berg; Victor Elfström; [2020]
    Nyckelord :IRRBB; Gap Risk; Basis Risk; Option risk; Interest rate; Yield Curve; Nelson Siegel Svensson; PCA; Cholesky Decomposition; EBA; EVE; NII; Risk; Interest rate risk; IRRBB; Gaprisk; Basrisk; Optionsrisk; Ränta; Avkastningskurva; Nelson Siegel Svensson; PCA; Cholesky Decomposition; EBA; EVE; NII; Risk; Ränterisk;

    Sammanfattning : Financial institutions are exposed to several different types of risk. One of the risks that can have a significant impact is the interest rate risk in the bank book (IRRBB). In 2018, the European Banking Authority (EBA) released a regulation on IRRBB to ensure that institutions make adequate risk calculations. LÄS MER

  7. 5. Determinants of the spread of CET1 for European Banks : Quantitative study based on the 2016 EU-wide Stress test

    Magister-uppsats, Umeå universitet/Företagsekonomi

    Författare :Margaux Steiner; Marjolaine Marra; [2017]
    Nyckelord :CET1; capital adequacy ratio; bank regulation; spread; capital requirements; Europe;

    Sammanfattning : Historically, banks have always had a central role in the economy. Their decisions do not only affect their shareholders and customers but the whole economic system. LÄS MER