Sökning: "William Shiver"

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  1. 1. 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