Sökning: "Startup Default Probability"

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  1. 1. Portfolio Risk Modelling in Venture Debt

    Master-uppsats, KTH/Matematisk statistik

    Författare :John Eriksson; Jacob Holmberg; [2023]
    Nyckelord :Startup Default Probability; Venture Debt; Gaussian Copula; Value-at-Risk; Expected Shortfall; Exposure at Default; Loss Given Default; Forecast; Linear Dynamic System; ARIMA Time Series; Monte Carlo Simulation; Linear Regression; Central Limit Theorem;

    Sammanfattning : This thesis project is an experimental study on how to approach quantitative portfolio credit risk modelling in Venture Debt portfolios. Facing a lack of applicable default data from ArK and publicly available sets, as well as seeking to capture companies that fail to service debt obligations before defaulting per se, we present an approach to risk modeling based on trends in revenue. LÄS MER