Essays about: "Intra-sector correlation"

Found 2 essays containing the words Intra-sector correlation.

1. 1. Credit Risk and Asset Correlation Modelling for the Swedish Market: A Comparative Analysis

   University essay from KTH/Matematisk statistik

   Author : Carl Axel Jönsson; Ludvig Hamilton; [2019]
   Keywords : Credit Risk; Economic Capital; Value-at-Risk; Intra-sector correlation; Inter-sector correlation; Copula; Basel III; Kreditrisk; Ekonomiskt kapital; Value-at-Risk; Intra-sektorkorrelation; Inter-sektorkorrelation; Copula; Basel III;

   Abstract : In order to ensure solvency, financial institutions must evaluate their credit risk exposure and determine how much economic capital is required to hold as a cushion. This thesis compares three factor models, namely Asymptotic Single Risk Factor (“ASRF”), Inter-sector and Intra-sector factor models and evaluates how their different characteristics affect the economic capital outcomes. READ MORE

3. 2. Improving Measurement of SectorConcentration Risk in Credit Portfolios : Evaluation of sector classification and approaches to concentration measure characteristics

   University essay from KTH/Entreprenörskap och Innovation

   Author : GUSTAV GLANS; JESPER ROSENBERG; [2015]
   Keywords : Risk management; Credit risk; Sector concentration risk; Sectorial division; Pillar 2; Riskhantering; Kreditrisk; Sektorkoncentrationsrsik; Sektorindelning; Pelare 2;

   Abstract : På en teknisk nivå utgör beräkningen av sektorkoncentrationsrisk ett särskilt utmanande problem. I befintlig teori är riktlinjer till såväl hur industrisektorer ska indelas som risknivån beräknas begränsade. Syftet med studien är att utvärdera och analysera olika tillvägagångssätt till sektorkoncentrationsrisk i kreditportföljer. READ MORE