Essays about: "Credit Default Risk"
Showing result 1 - 5 of 166 essays containing the words Credit Default Risk.
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1. ON THE CVA OF CREDIT DEFAULT SWAPS: THE IMPLICATION OF DEPENDENCE USING A COPULA APPROACH
University essay from Göteborgs universitet/Graduate SchoolAbstract : This study examines the nature and background to the Credit Value Adjustment(CVA), a concept that has gained focus due the it’s heightened importance for financial institutions subsequent to the 2008 financial crisis. CVA can be defined as the the price that should be added to the bilateral defaultable contract to adjust for the existing Counterparty Credit Risk (CCR) so that the contract will have the same value as a corresponding risk-free contract. READ MORE
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2. Explainable Artificial Intelligence and its Applications in Behavioural Credit Scoring
University essay from Stockholms universitet/Institutionen för data- och systemvetenskapAbstract : Credit scoring is critical for banks to evaluate new loan applications and monitor existing customers. Machine learning has been extensively researched for this case; however, the adoption of machine learning methods is minimal in financial risk management. READ MORE
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3. Modelling Proxy Credit Cruves Using Recurrent Neural Networks
University essay from KTH/Matematisk statistikAbstract : Since the global financial crisis of 2008, regulatory bodies worldwide have implementedincreasingly stringent requirements for measuring and pricing default risk in financialderivatives. Counterparty Credit Risk (CCR) serves as the measure for default risk infinancial derivatives, and Credit Valuation Adjustment (CVA) is the pricing method used toincorporate this default risk into derivatives prices. READ MORE
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4. Increasing explainability of neural network based retail credit risk models
University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)Abstract : Due to their ’black box’ nature, Artificial Neural Networks (ANN) are not permitted for use in various applications. One such application is mortgage credit risk modeling. READ MORE
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5. Portfolio Risk Modelling in Venture Debt
University essay from KTH/Matematisk statistikAbstract : 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. READ MORE