Sökning: "Katja Dalne"

Hittade 2 uppsatser innehållade orden Katja Dalne.

1. 1. The Performance of Market Risk Models for Value at Risk and Expected Shortfall Backtesting : In the Light of the Fundamental Review of the Trading Book

   Master-uppsats, KTH/Matematisk statistik

   Författare :Katja Dalne; [2017]
   Nyckelord :Risk Management; Financial Time Series; Value at Risk; Expected Shortfall; Monte Carlo Simulation; GARCH modeling; Copulas; Hybrid Distribution; Generalized Pareto Distribution; Extreme Value Theory; Backtesting; Liquidity Horizon; Basel regulation.;

   Sammanfattning : The global financial crisis that took off in 2007 gave rise to several adjustments of the risk regulation for banks. An extensive adjustment, that is to be implemented in 2019, is the Fundamental Review of the Trading Book (FRTB). LÄS MER

3. 2. Validation Techniques for Credit Risk Models - Applying New Methods on Nordea’s Corporate Portfolio

   Kandidat-uppsats, KTH/Skolan för teknikvetenskap (SCI)

   Författare :Katja Dalne; [2013]
   Nyckelord :;

   Sammanfattning :   Nordea, being the largest corporate group of its kind in Northern Europe, has a great need of evaluating its customers ability to repay a debt as well as the probability of bankruptcy. The evaluation is done by different statistically derived internal rating models, based on logistic regression. LÄS MER