Essays about: "Credit modelling"

Showing result 16 - 20 of 49 essays containing the words Credit modelling.

  1. 16. 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

  3. 17. PROFITABILITY MODELLING FOR CREDIT MARKET COMPANY : MODELLING AND EVALUATION OF PROFITABILITY AND CREDIT RISK FOR LARGE CONTRACTS

    University essay from 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. 18. 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. 19. 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

  6. 20. Machine Learning in Banking : Exploring the feasibility of using consumer level bank transaction data for credit risk evaluation

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Thim Lohse; [2019]
    Keywords : ;

    Abstract : The financial industry is changing rapidly as a result of the increasing digitization of financial and economic resources and services. With a continuous increase in online payments and decrease in the usage of physical currency a new data source of fine-grained payment activities describing consumer behaviour has emerged. READ MORE