Essays about: "thesis on risk management in banks"

Showing result 1 - 5 of 30 essays containing the words thesis on risk management in banks.

  1. 1. The Performance of Market Risk Models for Value at Risk and Expected Shortfall Backtesting : In the Light of the Fundamental Review of the Trading Book

    University essay from KTH/Matematisk statistik

    Author : Katja Dalne; [2017]
    Keywords : Risk Management; Financial Time Series; Value at Risk; Expected Shortfall; Monte Carlo Simulation; GARCH modeling; Copulas; Hybrid Distribution; Generalized Pareto Distribution; Extreme Value Theory; Backtesting; Liquidity Horizon; Basel regulation.;

    Abstract : The global financial crisis that took off in 2007 gave rise to several adjustments of the risk regulation for banks. An extensive adjustment, that is to be implemented in 2019, is the Fundamental Review of the Trading Book (FRTB). READ MORE

  2. 2. 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

  3. 3. 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

  4. 4. A framework for modeling the liquidity and interest rate risk of demand deposits

    University essay from KTH/Matematisk statistik; KTH/Matematisk statistik

    Author : Peter Henningsson; Christina Skoglund; [2016]
    Keywords : Non-maturing liabilities; Liquidity risk; Interest rate risk; Vasicek short rate model; Deposit volume modeling; Deposit rate modeling; Valuation of demand deposits;

    Abstract : The objective of this report is to carry out a pre-study and develop a framework for how the liquidity and interest rate risk of a bank's demand deposits can be modeled. This is done by first calibrating a Vasicek short rate model and then deriving models for the bank's deposit volume and deposit rate using multiple regression. READ MORE

  5. 5. Operational RiskManagement Improvements within Internal Control Frameworks

    University essay from Uppsala universitet/Företagsekonomiska institutionen; Uppsala universitet/Företagsekonomiska institutionen

    Author : Nazanin Bagherzadeh; Kateryna Jöehrs; [2015]
    Keywords : Risk Management; Operational Risk; Operational Risk Management; Internal Control; Risk Governance; IT System Risk; Reputational Risk;

    Abstract : Operational Risk Management has gained attentions to itself in the recent years. Although a liquidity crisis, but Global Financial Crisis has had impacts on all areas of risk namely operational risk at financial institutions. READ MORE