Sökning: "LGD Model"
Hittade 5 uppsatser innehållade orden LGD Model.
1. Loss Given Default Estimation with Machine Learning Ensemble Methods
Master-uppsats, KTH/Matematisk statistikSammanfattning : 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
2. Estimation of Loss Given Default Distributions for Non-Performing Loans Using Zero-and-One Inflated Beta Regression Type Models
Master-uppsats, KTH/Matematisk statistikSammanfattning : 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
3. Readjusting Historical Credit Ratings : using Ordered Logistic Regression and Principal ComponentAnalysis
Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistikSammanfattning : Readjusting Historical Credit Ratings using Ordered Logistic Re-gression and Principal Component Analysis The introduction of the Basel II Accord as a regulatory document for creditrisk presented new concepts of credit risk management and credit risk mea-surements, such as enabling international banks to use internal estimates ofprobability of default (PD), exposure at default (EAD) and loss given default(LGD). These three measurements is the foundation of the regulatory capitalcalculations and are all in turn based on the bank’s internal credit ratings. LÄS MER
4. Estimating Loss-Given-Default through Survival Analysis : A quantitative study of Nordea's default portfolio consisting of corporate customers
Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistikSammanfattning : In Sweden, all banks must report their regulatory capital in their reports to the market and their models for calculating this capital must be approved by the financial authority, Finansinspektionen. The regulatory capital is the capital that a bank has to hold as a security for credit risk and this capital should serve as a buffer if they would loose unexpected amounts of money in their lending business. LÄS MER
5. A qualitative and quantitative analysis of the risk parameter LGD based on the Basel II Framework
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : Title: A qualitative and quantitative analysis of the risk parameter LGD based on the Basel II Framework Seminar date: 27 January 2007 Course: Financial Economy, Master Thesis, 10 poäng (15 ECTS) Author: Helén Dybing Advisor: Hans Byström Key words: LGD, LTV, Risk, Basel II, Estimation model Purpose: The purpose of this thesis is to get a deeper understanding of the risk parameter LGD and try to identify which variables drive it and how. Further the purpose of analysing the LGD/LTV relationship is to see how the risk parameter interacts with other parameters that are included in risk management. LÄS MER
