Essays about: "Credit risk modeling"

Showing result 1 - 5 of 31 essays containing the words Credit risk modeling.

1. 1. Increasing explainability of neural network based retail credit risk models

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

   Author : Anton Evilevitch; [2023]
   Keywords : Explainability; Artificial Neural Network; Mortgage Credit Risk Modeling; Förklarbarhet; Artificiella Neurala Nätverk; Modellering av Hypotekskreditrisk;

   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

3. 2. Predicting the Unpredictable – Using Language Models to Assess Literary Quality

   University essay from Uppsala universitet/Institutionen för lingvistik och filologi

   Author : Yaru Wu; [2023]
   Keywords : perplexity; variance; unpredictability; homogeneity; generative pre-trained models; text generation; literary quality;

   Abstract : People read for various purposes like learning specific skills, acquiring foreign languages, and enjoying the pure reading experience, etc. This kind of pure enjoyment may credit to many aspects, such as the aesthetics of languages, the beauty of rhyme, and the entertainment of being surprised by what will happen next, the last of which is typically featured in fictional narratives and is also the main topic of this project. READ MORE

4. 3. Credit Index Forecasting: Stability of an Autoregressive Model

   University essay from KTH/Matematik (Avd.)

   Author : Melker Wallén; Erik Grimlund; [2023]
   Keywords : Credit spreads; Time Series; Credit Risk; Index Modeling; Forecasting; Kreditspreadar; Tidsserier; Kreditrisk; Indexmodellering; Prognoser;

   Abstract : This thesis investigates the robustness and stability of total return series for credit bond index investments. Dueto the challenges which arise for financial institutes and investors in achieving these objectives, we aim to createa forecasting model which matches the statistical properties of historical data, while remaining robust, stable andeasy to calibrate. READ MORE

5. 4. Portfolio Risk Modelling in Venture Debt

   University essay from KTH/Matematisk statistik

   Author : John Eriksson; Jacob Holmberg; [2023]
   Keywords : Startup Default Probability; Venture Debt; Gaussian Copula; Value-at-Risk; Expected Shortfall; Exposure at Default; Loss Given Default; Forecast; Linear Dynamic System; ARIMA Time Series; Monte Carlo Simulation; Linear Regression; Central Limit Theorem;

   Abstract : 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

6. 5. 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