Sökning: "LGD"
Visar resultat 1 - 5 av 11 uppsatser innehållade ordet LGD.
1. A multi-gene symbolic regression approach for predicting LGD : A benchmark comparative study
Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistikSammanfattning : Under the Basel accords for measuring regulatory capital requirements, the set of credit risk parameters probability of default (PD), exposure at default (EAD) and loss given default (LGD) are measured with own estimates by the internal rating based approach. The estimated parameters are also the foundation of understanding the actual risk in a banks credit portfolio. LÄS MER
2. 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
3. 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
4. Consolidating Multi-Factor Models of Systematic Risk with Regulatory Capital
Master-uppsats, KTH/Matematisk statistikSammanfattning : To maintain solvency intimes of severe economic downturns banks and financialinstitutions keep capital cushions that reflect the risks in the balance sheet.Broadly,how much capital that is being held is a combination of external requirementsfromregulators and internal assessments of credit risk. LÄS MER
5. 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
