Essays about: "thesis in credit rating"

Showing result 1 - 5 of 56 essays containing the words thesis in credit rating.

  1. 1. Automatic Extraction of Financial Data in Credit Rating Analysis

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Robert Minasyan; Pim Erlandsson; [2023]
    Keywords : automatic data extraction; financial reports; XBRL; Arelle; credit rating analysis; automatisk dataextraktion; finansiella rapporter; XBRL; Arelle; kreditvärderingsanalys;

    Abstract : With the increasing use of big data and automatization, financial data extraction is of growing importance in the financial industry. The thesis examines how an extraction system can be developed for extracting relevant data for credit rating analysis. READ MORE

  3. 2. Modeling Credit Default Swap Spreads with Transformers : A Thesis in collaboration with Handelsbanken

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Johan Luhr; [2023]
    Keywords : Machine Learning; Transformer; Finance; Credit Default Swap; Credit Valuation Adjustment; Time Series Data; Maskininlärning; Transformer; Finance; Kreditswapp; Kredit Värderings Justering; Tidsserie data;

    Abstract : In the aftermath of the credit crisis in 2007, the importance of Credit Valuation Adjustment (CVA) rose in the Over The Counter (OTC) derivative pricing process. One important part of the pricing process is to determine Probability of Defaults (PDs) of the counterparty in question. READ MORE

  4. 3. From Data to Decision: : Using Logistic Regression to Determine Creditworthiness

    University essay from KTH/Matematisk statistik

    Author : Joel Norling; Sami Abdu; [2023]
    Keywords : Bachelor Thesis; Scorecard modeling; Mathematical Statistics; Logistic Regression; Consumer Credits; Binning; Kandidatuppsats; Scorecard-modellering; Matematisk statistik; Logistisk regression; Konsumentkrediter; Binning;

    Abstract : The development of scorecards for customer credit rating is a well-established field in the financial sector. The aim of this project, conducted in collaboration with a Swedish credit institute, was to develop a statistical model for predicting customer performance. READ MORE

  5. 4. 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

  6. 5. 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