Sökning: "Internal-Ratings Based Approach"

Visar resultat 1 - 5 av 8 uppsatser innehållade orden Internal-Ratings Based Approach.

1. 1. Loss Given Default Estimation with Machine Learning Ensemble Methods

   Master-uppsats, KTH/Matematisk statistik

   Författare :Elina Velka; [2020]
   Nyckelord :Loss Given Default; Non-Performing Loans; Internal Ratings Based Approach; Machine Learning; Decision Tree; Random Forest; Boosted Method; Förlust vid fallissemang; Icke-presterande lån; Intern riskklassificeringsmetod; Maskininlärning; Decision Tree; Random Forest; Boosted Metod;

   Sammanfattning : This thesis evaluates the performance of three machine learning methods in prediction of the Loss Given Default (LGD). LGD can be seen as the opposite of the recovery rate, i.e. the ratio of an outstanding loan that the loan issuer would not be able to recover in case the customer would default. LÄS MER

3. 2. Developing an Advanced Internal Ratings-Based Model by Applying Machine Learning

   Master-uppsats, KTH/Matematisk statistik

   Författare :Aso Qader; William Shiver; [2020]
   Nyckelord :Internal-Ratings Based Approach; Machine Learning; Zero-Inflated Beta Regression; Capital Requirement; Basel Accords;

   Sammanfattning : Since the regulatory framework Basel II was implemented in 2007, banks have been allowed to develop internal risk models for quantifying the capital requirement. By using data on retail non-performing loans from Hoist Finance, the thesis assesses the Advanced Internal Ratings-Based approach. LÄS MER

4. 3. Estimation of Loss Given Default Distributions for Non-Performing Loans Using Zero-and-One Inflated Beta Regression Type Models

   Master-uppsats, KTH/Matematisk statistik

   Författare :Carolina Ljung; Maria Svedberg; [2020]
   Nyckelord :Loss Given Default; Non-Performing Loans; Internal Ratings Based Approach; Basel Accords; Zero-and-One Inflated Beta Regression; Bayesian Inference; Förlust vid fallissemang; Icke-presterande lån; Intern riskklassificeringsmetod; Basel; Utvidgad betaregression; Bayesiansk inferens;

   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

5. 4. Basel III, banker och kreditgivning : En studie av Basel III:s påverkan på bankers kreditgivning till nystartade företag

   Magister-uppsats, Högskolan i Halmstad/Akademin för ekonomi, teknik och naturvetenskap

   Författare :Victor Ekmark; Didrik Hirschfeldt; [2015]
   Nyckelord :Basel III; bank lending; financial regulations; start-ups; Basel III; bankers kreditgivning; finansiell reglering; nystartade företag;

   Sammanfattning : I Sverige klassificeras cirka 99,4 % av alla företag som mindre företag och under 2014 registrerades cirka 70 000 nya företag. Gemensamt är att nystartade och mindre företag som växer och utvecklas bidrar till nationell tillväxt i länderna de är verksamma inom. LÄS MER

7. 5. Diminishing Risk-Weights Under the Basel II Accord: A Sign of Better Credit Quality or Regulatory Arbitrage?

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

   Författare :Erik Boltenstål; Markus Falkman; [2015]
   Nyckelord :Basel II; model based approach; risk weights; capital requirements; credit ratings;

   Sammanfattning : The Basel II-accord aimed to strengthen the financial system by making the banks more solvent. The Internal Ratings Based-model was introduced to create a better connection between risk held and regulatory capital. LÄS MER