Essays about: "Granularity Adjustment"

Found 3 essays containing the words Granularity Adjustment.

  1. 1. Multi-factor approximation : An analysis and comparison ofMichael Pykhtin's paper “Multifactor adjustment”

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

    Author : Michael Zanetti; Philip Güzel; [2023]
    Keywords : Credit risk; Value at Risk; Expected Shortfall; Monte Carlo simulation; Advanced Internal Rantings-Based models; Kreditrisk; Value at Risk; Expected Shortfall; Monte Carlo simulation; Advanced Internal Rantings-Based-modeller;

    Abstract : The need to account for potential losses in rare events is of utmost importance for corporations operating in the financial sector. Common measurements for potential losses are Value at Risk and Expected Shortfall. These are measures of which the computation typically requires immense Monte Carlo simulations. READ MORE

  3. 2. Approximating Capital Requirement Due to Name Credit Concentration Risk

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Christian Green; Pauline Lidberg; [2014]
    Keywords : Granularity Adjustment; Capital Requirement; Name Concentration Risk; Credit Risk; Standardised Approach; Basel agreements; Mathematics and Statistics; Business and Economics; Technology and Engineering;

    Abstract : Since banks provide various forms of credit, they consequently expose the business as well as society to risks. Therefore, global banking regulations exist to ensure that banks keep enough capital for the risks they are taking. READ MORE

  4. 3. Name Concentration Risk and Pillar 2 Compliance : The Granularity Adjustment

    University essay from KTH/Matematisk statistik

    Author : Björn Torell; [2013]
    Keywords : Credit Risk; Basel II; IRB formula; Concentration risk; Name concentration; ;

    Abstract : A credit portfolio where each obligor contributes infinitesimally to the risk is said to be infinitely granular. The risk related to the fact that no real credit portfolio is infinitely granular, is called name concentration risk. READ MORE