Sökning: "Kreditmodellering"

Hittade 2 uppsatser innehållade ordet Kreditmodellering.

1. 1. Credit Modeling with Behavioral Data

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

   Författare :Jingning Zhou; [2022]
   Nyckelord :Credit modeling; Behavioral data; Feature engineering; Kreditmodellering; Beteendedata; Funktionsteknik;

   Sammanfattning : In recent years, the Buy Now Pay Later service has spread across the e-commerce industry, and credit modeling is inevitable of interest for related companies to predict the default rate of the customers. The traditional data used in such models are financial bureaus which include credit records bought from external financial institutions. LÄS MER

3. 2. On the Proxy Modelling of Risk-Neutral Default Probabilities

   Master-uppsats, KTH/Matematisk statistik

   Författare :Edvin Lundström; [2020]
   Nyckelord :Counterparty Credit Risk; Credit Valuation Adjustment; CVA; Credit modelling; Reduced form model; Proxy model; Hazard rate; Cross-section model; Nomura model; Motpartsrisk; Kreditvärderingsjustering; CVA; Kreditmodellering; Proxymodellering; Nomuramodellen;

   Sammanfattning : Since the default of Lehman Brothers in 2008, it has become increasingly important to measure, manage and price the default risk in financial derivatives. Default risk in financial derivatives is referred to as counterparty credit risk (CCR). The price of CCR is captured in Credit Valuation Adjustment (CVA). LÄS MER