Essays about: "Credit modelling"

Showing result 1 - 5 of 35 essays containing the words Credit modelling.

  1. 1. On the Proxy Modelling of Risk-Neutral Default Probabilities

    University essay from KTH/Matematisk statistik

    Author : Edvin Lundström; [2020]
    Keywords : Counterparty Credit Risk; Credit Valuation Adjustment; CVA; Credit modelling; Reduced form model; Proxy model; Hazard rate; Cross-section model; Nomura model; Motpartsrisk; Kreditvärderingsjustering; CVA; Kreditmodellering; Proxymodellering; Nomuramodellen;

    Abstract : Since the default of Lehman Brothers in 2008, it has become increasingly important to measure, manage and price the default risk in financial derivatives. Default risk in financial derivatives is referred to as counterparty credit risk (CCR). The price of CCR is captured in Credit Valuation Adjustment (CVA). READ MORE

  2. 2. Valuation of Additional Tier-1 Contingent Convertible Bonds (AT1 CoCo) : Modelling trigger risk in a practical investment setting

    University essay from KTH/Matematisk statistik

    Author : Adrian Djerf; [2020]
    Keywords : AT1; CoCo; Contingent Convertible; Trigger Risk; Bonds; Valuation; Financial Mathematics; Hybrid Capital; AT1; CoCo; Contingent Convertible; Trigger risk; Obligationer; Värdering; Finansiell matematik; Hybridkapital;

    Abstract : Contingent convertible bonds (often referred to as CoCo bonds, or simply CoCos) are a relatively new financial instrument designed to absorb unexpected losses. This instrument became increasingly more common after the financial crisis of 2008, as a way to decrease the risk of insolvency among banks and other financial institutions. READ MORE


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

    Author : Mattias Kvarnerås; Viktor Pettersson; [2020]
    Keywords : Credit Risk; Credit; Modelling; Model; Profitability; Kreditrisk; Modell; Modellering; Lönsamhet;

    Abstract : Risk and profitability are two topics that companies today have to face and deal with. There are different type of risks that either directly or indirectly affect the survival of a company. READ MORE

  4. 4. Predicting Default Probability in Credit Risk using Machine Learning Algorithms

    University essay from KTH/Matematisk statistik

    Author : Sarah Kornfeld; [2020]
    Keywords : Credit risk; default probability; machine learning; logsitic regression; basel framework; Kreditrisk; fallissemangssannolikhet; maskininlärning; logistisk regression; baselregelverk;

    Abstract : This thesis has explored the field of internally developed models for measuring the probability of default (PD) in credit risk. As regulators put restrictions on modelling practices and inhibit the advance of risk measurement, the fields of data science and machine learning are advancing. READ MORE

  5. 5. The impact of ESG score on firm's cost of capital and riskiness

    University essay from

    Author : William Berntsson; [2019-07-05]
    Keywords : ;

    Abstract : This paper investigates the relationship between a firm´s Thomson Reuters ESG score and its weighted average cost of capital & implied credit default swap spread. The research is conducted on the Swedish stock exchanges and uses all available firms with an available ESG score. The effect is measured from 2017 to 2019. READ MORE