Essays about: "credit risk management thesis"

Showing result 21 - 25 of 52 essays containing the words credit risk management thesis.

1. 21. Peer-to-Peer Lending from a CDO Perspective

   University essay from Göteborgs universitet/Graduate School

   Author : Axel Helgason; [2018-07-04]
   Keywords : Credit risk management; Credit risk modeling; Collateralized debt obligations CDO ; Peer-to-peer lending;

   Abstract : In this thesis, we will attempt to model a peer-to-peer lending intermediary according to a CDO. A CDO is a credit risk protection product that distributes credit risk among investors. The business of a peer-to-peer lending intermediary is to connect individuals who want to borrow money with individuals who want to lend. READ MORE

3. 22. Counterparty Credit Risk Efficieny of Central Clearing

   University essay from Göteborgs universitet/Graduate School

   Author : Felix Salat; [2017-07-26]
   Keywords : Risk Management; Counterparty Credit Risk; OTC Derivatives; Central Clearing; Multilateral Netting; Bilateral Netting;

   Abstract : In this thesis, we aim to show effects of centrally clearing OTC derivatives on counterparty exposures. Central clearing is the process of replacing bilateral exposures from transactions with a network of multilateral exposures. In all transactions, a central counterparty (CCP) is the intermediary, acting as a buyer to each seller and vice versa. READ MORE

4. 23. Modeling credit risk for an SME loan portfolio: An Error Correction Model approach

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

   Author : Jonathan Lindgren; [2017]
   Keywords : Error Correction Model; Credit risk; Risk management; Regression; Econometrics; Mathematical analysis; Probability of Default; Loss Given Default; Finance; Mathematical modeling; Kreditrisk; Risk hantering; Finans; Ekonometri; Matematisk modellering; Sannolikhet för Fallissemang; Förlust givet Fallissemang;

   Abstract : Sedan den globala finanskrisen 2008 har flera stora regelverk införts för att säkerställa att banker hanterar risker på sunt sätt. Bland dessa regelverk är Basel II som infört kapitalkrav för kreditrisk som baseras på Sannolikhet för Fallissemang och Förlust Givet Fallissemang. READ MORE

5. 24. The Impact of Credit Risk Management on Profitability of Nordic Commercial Banks

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Róbert Hurka; [2017]
   Keywords : credit risk management; profitability; Nordic countries; commercial banks; loan loss provision; Business and Economics;

   Abstract : This thesis investigates credit risk management in Nordic commercial banks and its effect on profitability. Two determinants of credit risk are chosen according to relevant literature, namely loan loss provision ratio and capital adequacy ratio. Thirteen banks in total are then investigated across the 16 year time frame from 2000-2015. READ MORE

6. 25. Counterparty Credit Exposures for Interest Rate Derivatives using Stochastic Grid Bundling Method and Change of Measure

   University essay from Lunds universitet/Matematisk statistik

   Author : Johan Gustavsson; [2017]
   Keywords : OTC; Counterparty credit risk; HW1F; Market price of risk; CVA; Potential Future Exposure; Expected Exposure; Bermudan swaption; Stochastic Grid Bundling Method; SGBM.; Mathematics and Statistics;

   Abstract : The notional amounts outstanding of over-the-counter (OTC) derivatives had grown exponentially for almost two decades and its rapid growth were mainly due the increase in OTC interest rate derivatives. As of december 2014, the total notional amounts outstanding in the global OTC market was 630 trillions USD and the OTC interest rate derivatives represents about 80% of the market. READ MORE