Essays about: "Credit Default Risk"

Showing result 21 - 25 of 166 essays containing the words Credit Default Risk.

1. 21. Credit Modeling with Behavioral Data

   University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Author : Jingning Zhou; [2022]
   Keywords : Credit modeling; Behavioral data; Feature engineering; Kreditmodellering; Beteendedata; Funktionsteknik;

   Abstract : In recent years, the Buy Now Pay Later service has spread across the e-commerce industry, and credit modeling is inevitable of interest for related companies to predict the default rate of the customers. The traditional data used in such models are financial bureaus which include credit records bought from external financial institutions. READ MORE

3. 22. Do CSR pillars have an effect on credit risk? An empirical comparison between Canadian and Mexican firms

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : German Portugal Valenzuela; Lourdes Angelica Garcia Braulio; [2022]
   Keywords : CSR; Corporate Social Responsibility; CSR Pillars; ESG; Credit Risk; Probability of Default; Credit Default Swap Spreads; Business and Economics;

   Abstract : This paper aims to empirically examine the effect, if any, of each Corporate Social Responsibility dimension (i.e., Environmental, Social, and Governance activities) on firms’ credit risk for two countries with a different CSR culture, Canada and Mexico. READ MORE

4. 23. The Determinants of CDS Spreads During the COVID-19 Pandemic

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Anton Flygare; Fredrik Tingets; [2022]
   Keywords : Credit Default Swap; CDS spreads; Credit Risk; COVID-19; Business and Economics;

   Abstract : This paper investigates the determinants of CDS spreads in the US, following the spread of the COVID-19 pandemic in early 2020. The pandemic led to an increased volatility and credit risk, as supply and demand suffered. By introducing measures related to COVID-19 we try to explain changes in CDS spreads in the US during the pandemic. READ MORE

5. 24. Probability of Default Term Structure Modeling : A Comparison Between Machine Learning and Markov Chains

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

   Author : Hugo Englund; Viktor Mostberg; [2022]
   Keywords : Machine Learning; Deep Neural Networks; XGBoost; Probability of Default; Term Structure Modeling; IFRS 9; Maskininlärning; Djupa neuronnät; XGBoost; Fallisemangsrisk; Terminsstruktursmodellering; IFRS 9;

   Abstract : During the recent years, numerous so-called Buy Now, Pay Later companies have emerged. A type of financial institution offering short term consumer credit contracts. As these institutions have gained popularity, their undertaken credit risk has increased vastly. Simultaneously, the IFRS 9 regulatory requirements must be complied with. READ MORE

6. 25. Prediction of Short-term Default Probability of Credit Card Invoices Using Behavioural Data

   University essay from KTH/Matematisk statistik

   Author : Billy Lu; [2022]
   Keywords : Probability of Default; Credit Risk; Short-term Default Prediction; Machine Learning; Gradient Boosting; Thresholding; Sannolikheten för Fallissemang; Kreditrisk; Kortsiktig Fallissemang Prediktion; Maskininlärning; Gradientförstärkning; Tröskling;

   Abstract : Probability of Default (PD) is a standard metric to model and monitor credit risk, a major risk facing financial institutions. Traditional PD models are used to forecast risk levels in the long-term, while short-term PD predictions are rarer, but they can support management decisions on an operational level. READ MORE