Sökning: "Regulatory Accords"

Visar resultat 1 - 5 av 15 uppsatser innehållade orden Regulatory Accords.

  1. 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 statistik

    Författare :Hanna Tuoremaa; [2023]
    Nyckelord :Symbolic regression; loss given default; credit risk; logit transformed regression; beta regression; multi-gene genetic programming; regression tree;

    Sammanfattning : 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

  3. 2. THE MARKET'S REACTION TO THE BASEL IV ANNOUNCEMENT

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Sofie Björk; Erika Venäläinen; [2020-07-07]
    Nyckelord :Capital Requirements; Basel; Banking Performance; Event Study; JEL Classifications; G14; G21; G28; G32;

    Sammanfattning : Stricter capital requirement for banks is one of the key measures to make the banking system more resilient and eventually counteract financial crises. Established by the Basel Committee on Banking Supervision (BCBS) since 1988, the Basel Accords are a series of regulatory acts of bank capital requirements. LÄS MER

  4. 3. Developing an Advanced Internal Ratings-Based Model by Applying Machine Learning

    Master-uppsats, KTH/Matematisk statistik

    Författare :Aso Qader; William Shiver; [2020]
    Nyckelord :Internal-Ratings Based Approach; Machine Learning; Zero-Inflated Beta Regression; Capital Requirement; Basel Accords;

    Sammanfattning : Since the regulatory framework Basel II was implemented in 2007, banks have been allowed to develop internal risk models for quantifying the capital requirement. By using data on retail non-performing loans from Hoist Finance, the thesis assesses the Advanced Internal Ratings-Based approach. LÄS MER

  5. 4. Baselöverenskommelsens påverkan på bankers riskhantering : En kvalitativ studie om Baselöverenskommelsen, bankers implementering och riskhantering

    Kandidat-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Författare :Isac Lago; Marcus Ytterström; [2020]
    Nyckelord :Riskhantering; Basel Accord; Finansiella Regelverk;

    Sammanfattning : Före Sverige hade hårda regleringskrav såsom Baselöverenskommelsen var det tydligt att banker tog stora risker som inte var det bästa för samhället. När finansiella kriser inträffats har staten behövt gå in med pengar för att ge räddningspaket till bankerna. LÄS MER

  7. 5. The Effectiveness of the Basel Accords : Evidence from European Banks

    Magister-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Författare :Alfred Persson; Petra Marcusson; [2019]
    Nyckelord :Basel Accord; regulatory arbitrage; bank regulation; data envelopment analysis; bank efficiency;

    Sammanfattning : Purpose:The purpose is to investigate the adequacy of the Basel Accords to fulfill the underlying ideas of reducing risk and stabilizing the financial sector, or if it allows banks to use regulatory arbitrage to maintain a desired productive efficiency- and risk level. Methodology:A two-step analysis is constructed where each bank’s efficiency is first estimated, followed by a panel data regression on the efficiency-score and on a proxy for bank risk. LÄS MER