Essays about: "BASEL II thesis"

Showing result 1 - 5 of 22 essays containing the words BASEL II thesis.

  1. 1. Developing an Advanced Internal Ratings-Based Model by Applying Machine Learning

    University essay from KTH/Matematisk statistik

    Author : Aso Qader; William Shiver; [2020]
    Keywords : Internal-Ratings Based Approach; Machine Learning; Zero-Inflated Beta Regression; Capital Requirement; Basel Accords;

    Abstract : Since the regulatory framework Basel II was implemented in 2007, banks have been allowed to develop internal risk models for quantifying the capital requirement. By using data on retail non-performing loans from Hoist Finance, the thesis assesses the Advanced Internal Ratings-Based approach. READ MORE

  3. 2. GARCH models applied on Swedish Stock Exchange Indices

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Wiktor Blad; Vilim Nedic; [2019]
    Keywords : Value-at-Risk; GARCH; GJR-GARCH; EGARCH; student´s t distribution; generalized error distribution; Kupiec´s test; Chrisoffersen´s test; forecast;

    Abstract : In the financial industry, it has been increasingly popular to measure risk. One of the most common quantitative measures for assessing risk is Value-at-Risk (VaR). VaR helps to measure extreme risks that an investor is exposed to. READ MORE

  4. 3. Investigating the Potential of Using SOM on Audit Changed Trades

    University essay from KTH/Teknisk informationsvetenskap

    Author : Thomas Montzka; [2018]
    Keywords : ;

    Abstract : During the last 20 years, operational risk has been identified as an considerablerisk that needs to be tracked and handled, particular in the financial industry.The Basel Committee on banking supervision is a global cooperation thatsets standard regulations for banking corporations. READ MORE

  5. 4. 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

  6. 5. A Bayesian Approach to Modeling Operational Risk When Data is Scarce

    University essay from Lunds universitet/Matematisk statistik

    Author : Petter Svensson; [2015]
    Keywords : AMA; Bayesian inference; Basel II; g-and-h distribution; generalized Champernowne distribution; loss distribution approach; operational risk; Mathematics and Statistics;

    Abstract : The goal of this thesis is to investigate whether it is possible to construct an advanced measurement approach (AMA) model for operational risk when the number of internal data points are very scarce. An AMA model should combine internal data, external data, scenario data, and business environment and internal control factors to give a one year VaR estimate with 99. READ MORE