Essays about: "Loss Given Default"

Showing result 1 - 5 of 19 essays containing the words Loss Given Default.

  1. 1. A Dual-Lens Approach to Loss Given Default Estimation: Traditional Methods and Variable Analysis

    University essay from KTH/Matematik (Avd.)

    Author : William Jaeckel; Nicolai Versteegh; [2023]
    Keywords : Loss given default; estimering; jämförande studie; variabelanalys; kreditförvaltning; utlåning till små och medelstora företag; riskanalys; Loss given default; estimering; jämförande studie; variabelanalys; kreditförvaltning; utlåning till små och medelstora företag; riskanalys;

    Abstract : This report seeks to thoroughly examine different approaches to estimating Loss Given Default through a comparison of traditional estimation methods, as well as a deeper variable analysis on micro, small, and medium-sized companies using primarily regression decision trees. The comparative study concluded that estimating loss given default depends heavily on business-specific factors and data variety. READ MORE

  3. 2. 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

  4. 3. 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. 4. Optimization of Collateral Allocation for Corporate Loans : A nonlinear network problem minimizing the expected loss in case of default

    University essay from KTH/Matematik (Avd.)

    Author : Sofia Grägg; Paula Isacson; [2022]
    Keywords : Nonlinear optimization; network problem; transportation problem; Markowitz; credit risk; Loss Given Default; Loan to Value; collateral management; many-to-many relations; modern portfolio theory; expected loss; risk management; optimization; allocation; portfolio; modeling; Icke-linjär optimering; nätverksproblem; transportproblem; Markowitz; kreditrisk; förlust givet fallisemang; belåningsgrad; säkerhetshantering; många-till-många relationer; modern portföljteori; förväntad förlust; riskhantering; optimering; allokering; portfölj; modellering.;

    Abstract : Collateral management has become an increasingly valuable aspect of credit risk. Managing collaterals and constructing accurate models for decision making can give any lender a competitive advantage and decrease overall risks. READ MORE

  6. 5. Loss Given Default Estimation with Machine Learning Ensemble Methods

    University essay from KTH/Matematisk statistik

    Author : Elina Velka; [2020]
    Keywords : Loss Given Default; Non-Performing Loans; Internal Ratings Based Approach; Machine Learning; Decision Tree; Random Forest; Boosted Method; Förlust vid fallissemang; Icke-presterande lån; Intern riskklassificeringsmetod; Maskininlärning; Decision Tree; Random Forest; Boosted Metod;

    Abstract : This thesis evaluates the performance of three machine learning methods in prediction of the Loss Given Default (LGD). LGD can be seen as the opposite of the recovery rate, i.e. the ratio of an outstanding loan that the loan issuer would not be able to recover in case the customer would default. READ MORE