Essays about: "Credit modelling"

Showing result 21 - 25 of 49 essays containing the words Credit modelling.

  1. 21. Study and Case of Wrong-Way Risk : Explorative Search for Wrong-Way Risk

    University essay from Karlstads universitet/Handelshögskolan (from 2013)

    Author : Jonathan Grönberg; [2019]
    Keywords : Wrong-way risk; Credit value adjustment; Debit value adjustment; Bilateral credit value adjustment; Felvägsrisk; Kreditvärdesjustering; Debetvärdesjustering; Bilateral kreditvärdesjustering;

    Abstract : Usage of financial measurements that address the default probability of counterparties have been market practice for some time. Quantifying counterparty credit risk is usually done through the credit value adjustment which adjusts the value from a risk-free value to a risky value. READ MORE

  3. 22. High-risk Consumer Credit Scoring using Machine Learning Classification

    University essay from Lunds universitet/Matematisk statistik

    Author : Max Mjörnell; Ludvig Levay; [2019]
    Keywords : Machine learning; Scorecard modelling; Logistic regression; Support Vector Machine; Decision Tree; Random Forest; k-Nearest Neighbors; Artificial Neural Network; Voting ensemble; SHAP; LIME; Average Precision score; Feature engineering; Mathematics and Statistics;

    Abstract : The use of statistical models in credit rating and application scorecard modelling is a thoroughly explored field within the financial sector and a central component in a credit institution’s underlying business model. The aim of this report was to apply and compare six different machine learning models in predicting credit defaults for high-risk consumer credits, using a data set provided by a Swedish consumer credit institute. READ MORE

  4. 23. Credit Risk and Asset Correlation Modelling for the Swedish Market: A Comparative Analysis

    University essay from KTH/Matematisk statistik

    Author : Carl Axel Jönsson; Ludvig Hamilton; [2019]
    Keywords : Credit Risk; Economic Capital; Value-at-Risk; Intra-sector correlation; Inter-sector correlation; Copula; Basel III; Kreditrisk; Ekonomiskt kapital; Value-at-Risk; Intra-sektorkorrelation; Inter-sektorkorrelation; Copula; Basel III;

    Abstract : In order to ensure solvency, financial institutions must evaluate their credit risk exposure and determine how much economic capital is required to hold as a cushion. This thesis compares three factor models, namely Asymptotic Single Risk Factor (“ASRF”), Inter-sector and Intra-sector factor models and evaluates how their different characteristics affect the economic capital outcomes. READ MORE

  5. 24. Modelling Credit Risk: Estimation of Asset and Default Correlation for an SME Portfolio

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

    Author : Yaxum Cedeno; Rebecca Jansson; [2018]
    Keywords : Basel Capital Accord; Capital Requirements; SME; Portfolio Credit Risk; Monte-Carlo Simulations; Risk Weighted Assets RWA .; BaselKapitalavtal; Kapitalkrav; SME; PortföljKreditrisk; Monte-Carlo Simuleringar; Riskvägda Tillgångar RWA .;

    Abstract : When banks lend capital to counterparties they take on a risk, known as credit risk which traditionally has been the largest risk exposure for banks. To be protected against potential default losses when lending capital, banks must hold a regulatory capital that is based on a regulatory formula for calculating risk weighted assets (RWA). READ MORE

  6. 25. Risk Modelling in Payment Guarantees

    University essay from KTH/Matematisk statistik

    Author : Gutstav Kratz; [2018]
    Keywords : ;

    Abstract : The Swedish Export Credit Agency (EKN) issues payment guarantees to Swedish companies who face the risk of non-payments in export transactions. Commitments are typically correlated, as defaults of companies are driven by other factors than factors specific to that company, such as the economic cycle or the regional conditions. READ MORE