Sökning: "Intra-sektorkorrelation"
Hittade 1 uppsats innehållade ordet Intra-sektorkorrelation.
1. Credit Risk and Asset Correlation Modelling for the Swedish Market: A Comparative Analysis
Master-uppsats, KTH/Matematisk statistikSammanfattning : In order to ensure solvency, financial institutions must evaluate their credit risk exposure and determine how much economic capital is required to hold as a cushion. This thesis compares three factor models, namely Asymptotic Single Risk Factor (“ASRF”), Inter-sector and Intra-sector factor models and evaluates how their different characteristics affect the economic capital outcomes. LÄS MER
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