Essays about: "Basel II"

Showing result 1 - 5 of 41 essays containing the words Basel II.

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

    University essay from KTH/Matematisk statistik

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

    Abstract : 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. READ MORE

  3. 2. GARCH models applied on Swedish Stock Exchange Indices

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Wiktor Blad; Vilim Nedic; [2019]
    Keywords : Value-at-Risk; GARCH; GJR-GARCH; EGARCH; student´s t distribution; generalized error distribution; Kupiec´s test; Chrisoffersen´s test; forecast;

    Abstract : In the financial industry, it has been increasingly popular to measure risk. One of the most common quantitative measures for assessing risk is Value-at-Risk (VaR). VaR helps to measure extreme risks that an investor is exposed to. READ MORE

  4. 3. Consolidating Multi-Factor Models of Systematic Risk with Regulatory Capital

    University essay from KTH/Matematisk statistik

    Author : Henrik Ribom; [2018]
    Keywords : Economic Capital; Regulatory Capital; Basel Pillar II; Systematic Risk; Ekonomisk kapital; Regulatoriskt kapital; Basel pelare II; Systematisk risk;

    Abstract : 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. READ MORE

  5. 4. Investigating the Potential of Using SOM on Audit Changed Trades

    University essay from KTH/Teknisk informationsvetenskap

    Author : Thomas Montzka; [2018]
    Keywords : ;

    Abstract : During the last 20 years, operational risk has been identified as an considerablerisk that needs to be tracked and handled, particular in the financial industry.The Basel Committee on banking supervision is a global cooperation thatsets standard regulations for banking corporations. READ MORE

  6. 5. Readjusting Historical Credit Ratings : using Ordered Logistic Regression and Principal ComponentAnalysis

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Axel Cronstedt; Rebecca Andersson; [2018]
    Keywords : Ordered Logistic Regression; Principal Component Analysis; MacroEconomic Variables; Credit Risk; Credit Ratings; Multivariate Time SeriesData; Ordinal logistisk regression; Principalkomponentanalys; Makro-ekonomiska variabler; Kreditratings; Multivariata tidsserier;

    Abstract : 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. READ MORE