Essays about: "Credit Default Risk"

Showing result 11 - 15 of 166 essays containing the words Credit Default Risk.

1. 11. Peeking Through the Leaves : Improving Default Estimation with Machine Learning : A transparent approach using tree-based models

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

   Author : Elias Hadad; Angus Wigton; [2023]
   Keywords : Machine learning; Expected credit loss; Probability of default; ECL; PD; Risk Management; Credit Risk Management; Default Estimation; AI; Artificial intelligence; Fintech; Supervised learning; Decision tree; Random forest; XG boost; Transparency; Machine learning transparency;

   Abstract : In recent years the development and implementation of AI and machine learning models has increased dramatically. The availability of quality data paving the way for sophisticated AI models. Financial institutions uses many models in their daily operations. READ MORE

3. 12. A Correlation Study on the Relationship between Credit Default Swap (CDS) Spreads and ESG Sentiment in the Banking Sector

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Mattias Olsson; Shabier Stanakzai; [2023]
   Keywords : ESG; Sentiment; CDS spreads.; Business and Economics;

   Abstract : This study examines the influence of online ESG sentiment on credit market price movement in the banking sector. By employing a panel regression model with fixed effect for firms and time, the study’s findings indicate an inverse relationship between online ESG sentiment and CDS spread in accordance, to some extent, with previous literature. READ MORE

4. 13. A multi-gene symbolic regression approach for predicting LGD : A benchmark comparative study

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

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

   Abstract : 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. READ MORE

5. 14. Application of the Merton Model and the Altman Z-score Model in Credit Risk Assessment - an Empirical Study on Chinese Listed Companies

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Runzhou Chen; Hongzhe Fu; [2023]
   Keywords : Credit risk assessment; the Merton Model; The Altman Z-score model; Chinese market; Business and Economics;

   Abstract : Corporate default poses significant risks to investors and stakeholders, highlighting the importance of predicting and managing financial risk effectively. When the geographical scope is narrowed down to China, the unique characteristics of the Chinese market, such as the lack of comprehensive credit risk databases and the influence of state-owned enterprises and small-medium enterprises, present challenges in accurately assessing creditworthiness. READ MORE

6. 15. Measurement of sectoral concentration with multiple factors

   University essay from Uppsala universitet/Statistiska institutionen

   Author : Victor Norrbin; [2022]
   Keywords : Concentration risk; Sector concentration; Credit risk; Time series analysis; Principal component analysis; Monte carlo simulation; Multi-factor model;

   Abstract : One of banks core businesses today is to, in various ways, lend capital to the market and in return receive interest rate. But giving out credit comes with great risk and, therefore, precautions need to be taken. It is impossible to forecast exactly which obligor (borrower) that will default on its exposure. READ MORE