Essays about: "Carolina Ljung"

Found 2 essays containing the words Carolina Ljung.

1. 1. Estimation of Loss Given Default Distributions for Non-Performing Loans Using Zero-and-One Inflated Beta Regression Type Models

   University essay from KTH/Matematisk statistik

   Author : Carolina Ljung; Maria Svedberg; [2020]
   Keywords : Loss Given Default; Non-Performing Loans; Internal Ratings Based Approach; Basel Accords; Zero-and-One Inflated Beta Regression; Bayesian Inference; Förlust vid fallissemang; Icke-presterande lån; Intern riskklassificeringsmetod; Basel; Utvidgad betaregression; Bayesiansk inferens;

   Abstract : This thesis investigates three different techniques for estimating loss given default of non-performing consumer loans. This is a contribution to a credit risk evaluation model compliant with the regulations stipulated by the Basel Accords, regulating the capital requirements of European financial institutions. READ MORE

3. 2. A Study of Momentum Effects on the Swedish Stock Market using Time Series Regression

   University essay from KTH/Matematisk statistik

   Author : Carolina Ljung; Maria Svedberg; [2018]
   Keywords : momentum; time series regression; ex ante volatility; stationary process;

   Abstract : This study investigates if momentum effects can be found on the Swedish stock market by testing a cross-sectional momentum strategy on historical data. To explain the results mathematically, a second approach, involving time series regression for predicting future returns is introduced and thereby extends the cross-sectional theory. READ MORE