Essays about: "Credit concentration risk"

Showing result 1 - 5 of 12 essays containing the words Credit concentration risk.

1. 1. Multi-factor approximation : An analysis and comparison ofMichael Pykhtin's paper “Multifactor adjustment”

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

   Author : Michael Zanetti; Philip Güzel; [2023]
   Keywords : Credit risk; Value at Risk; Expected Shortfall; Monte Carlo simulation; Advanced Internal Rantings-Based models; Kreditrisk; Value at Risk; Expected Shortfall; Monte Carlo simulation; Advanced Internal Rantings-Based-modeller;

   Abstract : The need to account for potential losses in rare events is of utmost importance for corporations operating in the financial sector. Common measurements for potential losses are Value at Risk and Expected Shortfall. These are measures of which the computation typically requires immense Monte Carlo simulations. READ MORE

3. 2. Measurement of sectoral concentration with multiple factors

   University essay from Uppsala universitet/Statistiska institutionen

   Author : Victor Norrbin; [2022]
   Keywords : Concentration risk; Sector concentration; Credit risk; Time series analysis; Principal component analysis; Monte carlo simulation; Multi-factor model;

   Abstract : One of banks core businesses today is to, in various ways, lend capital to the market and in return receive interest rate. But giving out credit comes with great risk and, therefore, precautions need to be taken. It is impossible to forecast exactly which obligor (borrower) that will default on its exposure. READ MORE

4. 3. Does competition in the EU banking market lead to lower interest margins? : A panel data analysis on how market competition affects banks interest margin across EU countries

   University essay from Södertörns högskola/Nationalekonomi

   Author : Daniel Henriksson; Anna Ottosson; [2021]
   Keywords : Bank; Interest margin; Market concentration; European Union; Bank; Räntemarginal; Marknadskoncentration; Europeiska unionen;

   Abstract : This study analyses the bank market competition and bank interest margins in the European Union member countries banking sector during the period 2007–2019, using panel data analysis and aggregated data for each country ́s banking sector. Our starting point is the theory about market structure and two structural indexes are used as proxies of the degree of market competition. READ MORE

5. 4. Consolidating Multi-Factor Models of Systematic Risk with Regulatory Capital

   University essay from KTH/Matematisk statistik

   Author : Henrik Ribom; [2018]
   Keywords : Economic Capital; Regulatory Capital; Basel Pillar II; Systematic Risk; Ekonomisk kapital; Regulatoriskt kapital; Basel pelare II; Systematisk risk;

   Abstract : To maintain solvency intimes of severe economic downturns banks and financialinstitutions keep capital cushions that reflect the risks in the balance sheet.Broadly,how much capital that is being held is a combination of external requirementsfromregulators and internal assessments of credit risk. READ MORE

6. 5. To Measure Concentration Risk - A comparative study

   University essay from Lunds universitet/Matematisk statistik

   Author : Alma Broström; Hanna Scheibenpflug; [2017]
   Keywords : Multi factor adjustment; Pykhtin; Partial Portfolio Approach; capital requirement; Monte Carlo; name concentration; sector concentration; Credit concentration risk; Mathematics and Statistics;

   Abstract : Credit risk is one of the largest risks facing a bank and following the Basel regulations, banks are expected to hold capital to protect themselves against credit risk. This thesis aims to evaluate models to calculate the capital requirement for credit concentration risk and compare them to the models suggested by Finansinspektionen. READ MORE