Essays about: "low default portfolio"

Showing result 1 - 5 of 10 essays containing the words low default portfolio.

  1. 1. Applying the Shadow Rating Approach: A Practical Review

    University essay from KTH/Matematik (Avd.)

    Author : Viktor Barry; Carl Stenfelt; [2023]
    Keywords : Shadow Rating; probability of default; low default portfolio; credit risk; statistical learning; financial regulation; Basel; Pluto and Tasche; Skuggrating; sannolikhet av fallissemang; lågfallissemangsportfölj; kreditrisk; statistisk inlärning; finansiella regelverk; Basel; Pluto och Tasche;

    Abstract : The combination of regulatory pressure and rare but impactful defaults together comprise the domain of low default portfolios, which is a central and complex topic that lacks clear industry standards. A novel approach that utilizes external data to create a Shadow Rating model has been proposed by Ulrich Erlenmaier. READ MORE

  3. 2. 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

  4. 3. Copula Modelling of High-Dimensional Longitudinal Binary Response Data

    University essay from KTH/Matematik (Avd.)

    Author : Nils Henningsson; [2022]
    Keywords : Copula; latent model; variational inference; Copula; latent modell; variational inference;

    Abstract : This thesis treats the modelling of a high-dimensional data set of longitudinal binary responses. The data consists of default indicators from different nations around the world as well as some explanatory variables such as exposure to underlying assets. READ MORE

  5. 4. Transition Matrices Conditional on Macroeconomic Cycles: A Portfolio Stress-Test Application

    University essay from Göteborgs universitet/Graduate School

    Author : Jesper Karlsson; [2018-07-04]
    Keywords : Risk Management; Migration Analysis; Intensity Models; IFRS 9; Basel Accords; Portfolio Stress Test;

    Abstract : Transition matrices show the probabilities of credit rating migrations for a pool of ratings within a particular industry, geographical area, time-horizon, etc. Regulation, in the form of Basel accords, has opted for standards in banking that among other techniques use transition matrices, and thus the probability of default, for internally-based risk-assessment, as well as incorporating the external credit rating in the capital requirement calculation. READ MORE

  6. 5. Greenhouse Gas Footprint Minimization of Credit Default Swap Baskets

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

    Author : Oscar Britse; Johan Jarnmo; [2018]
    Keywords : credit default swap; CDS; CDS basket; greenhouse gas; emission; iTraxx; CDX; portfolio optimization; ECOBAR; Markowitz;

    Abstract : Global bond market capitalization amounts to approximately $100 trillion, compared to $60 trillion in the equity markets. Despite debt financing being a large part of the global financial market, the measurements and greenhouse gas reduction investment strategies to date are not nearly as thorough as for equity financing. READ MORE