Essays about: "Credit modelling"

Showing result 11 - 15 of 49 essays containing the words Credit modelling.

  1. 11. Statistical Credit Rating with Survival Regression & Gradient Boosting

    University essay from KTH/Optimeringslära och systemteori

    Author : Simon Norell; [2021]
    Keywords : ;

    Abstract : This thesis concerns the application of statistical modelling of credit risk in corporate borrowers using historical loan data from the Swedish export credit agency Exportkreditnämnden (EKN). Survival Regression in general and the Cox Proportional Hazard (CoxPH) model in particular is presented as a framework applicable to corpoate default and better suited than classification for modeling the binary default outcome of risk exposure data with inconsistent exposure times. READ MORE

  3. 12. Consistent Projection of the Balance Sheet : A Holistic Approach to Modelling Interest Rate Risk in the Banking Book

    University essay from KTH/Matematik (Avd.)

    Author : Gabriella Hulström; [2021]
    Keywords : Adjoint algorithmic differentiation; Economic Value of Equity; Interest Rate Risk; Net Interest Income; Risk Management; Adjoint algoritmisk derivering; Ekonomiskt Värde av Eget Kapital; Ränterisk; Räntenetto; Riskhantering;

    Abstract : When modelling risk in the banking book, a simple capital level approach can fail to capture the interactions between different risk measures or risk classes since they are modelled separately. In this thesis we propose a model for projecting the book value of a run-off balance sheet portfolio of fixed and variable rate loans, while also calculating net interest income, economic value of equity, capital requirement and capital cost within the same model. READ MORE

  4. 13. Credit Risk Analysis with Machine Learning for Peer-to-Peer Lending

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Lingzhi Huang; Wanlin Hu; [2021]
    Keywords : Credit Risk; Default; Machine Learning; Peer-to-Peer Lending; Predictive Modelling;

    Abstract : In the past decade, the scale and scope of fintech credit have snowballed. The peer-to-peer lending industry can be seen as a complement to the traditional banking system. Improving the performance of lending platforms by increasing the accuracy of credit default predictions can help these platforms establish a decisive advantage in the market. READ MORE

  5. 14. Credit Risk Modelling - An IRB & Machine Learning Approach

    University essay from Lunds universitet/Matematisk statistik

    Author : Jan Müller; [2020]
    Keywords : Mathematics and Statistics;

    Abstract : .... READ MORE

  6. 15. 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