Essays about: "Credit risk management"

Showing result 36 - 40 of 105 essays containing the words Credit risk management.

1. 36. Transition Matrices Conditional on Macroeconomic Cycles: A Portfolio Stress-Test Application

   University essay from Göteborgs universitet/Graduate School

   Author : Jesper Karlsson; [2018-07-04]
   Keywords : Risk Management; Migration Analysis; Intensity Models; IFRS 9; Basel Accords; Portfolio Stress Test;

   Abstract : Transition matrices show the probabilities of credit rating migrations for a pool of ratings within a particular industry, geographical area, time-horizon, etc. Regulation, in the form of Basel accords, has opted for standards in banking that among other techniques use transition matrices, and thus the probability of default, for internally-based risk-assessment, as well as incorporating the external credit rating in the capital requirement calculation. READ MORE

3. 37. Peer-to-Peer Lending from a CDO Perspective

   University essay from Göteborgs universitet/Graduate School

   Author : Axel Helgason; [2018-07-04]
   Keywords : Credit risk management; Credit risk modeling; Collateralized debt obligations CDO ; Peer-to-peer lending;

   Abstract : In this thesis, we will attempt to model a peer-to-peer lending intermediary according to a CDO. A CDO is a credit risk protection product that distributes credit risk among investors. The business of a peer-to-peer lending intermediary is to connect individuals who want to borrow money with individuals who want to lend. READ MORE

4. 38. Macroeconomic factors in Probability of Default : A study applied to a Swedish credit portfolio

   University essay from KTH/Skolan för industriell teknik och management (ITM)

   Author : Hermina Antonsson; [2018]
   Keywords : Macroeconomic factors; Probability of Default; IFRS 9; credit risk; mortgage loans; Makroekonomiska faktorer; Probability of Default; IFRS 9; kreditrisk; bolån;

   Abstract : Macroeconomic conditions can impact the payment capacity of individual mortgage holders' household loans. If the clients of a bank's retail credit portfolio experience deteriorating paymentcapacity it will reflect on the probability of default of the overall portfolio. READ MORE

5. 39. Readjusting Historical Credit Ratings : using Ordered Logistic Regression and Principal ComponentAnalysis

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

   Author : Axel Cronstedt; Rebecca Andersson; [2018]
   Keywords : Ordered Logistic Regression; Principal Component Analysis; MacroEconomic Variables; Credit Risk; Credit Ratings; Multivariate Time SeriesData; Ordinal logistisk regression; Principalkomponentanalys; Makro-ekonomiska variabler; Kreditratings; Multivariata tidsserier;

   Abstract : Readjusting Historical Credit Ratings using Ordered Logistic Re-gression and Principal Component Analysis The introduction of the Basel II Accord as a regulatory document for creditrisk presented new concepts of credit risk management and credit risk mea-surements, such as enabling international banks to use internal estimates ofprobability of default (PD), exposure at default (EAD) and loss given default(LGD). These three measurements is the foundation of the regulatory capitalcalculations and are all in turn based on the bank’s internal credit ratings. READ MORE

6. 40. Counterparty Credit Risk Efficieny of Central Clearing

   University essay from Göteborgs universitet/Graduate School

   Author : Felix Salat; [2017-07-26]
   Keywords : Risk Management; Counterparty Credit Risk; OTC Derivatives; Central Clearing; Multilateral Netting; Bilateral Netting;

   Abstract : In this thesis, we aim to show effects of centrally clearing OTC derivatives on counterparty exposures. Central clearing is the process of replacing bilateral exposures from transactions with a network of multilateral exposures. In all transactions, a central counterparty (CCP) is the intermediary, acting as a buyer to each seller and vice versa. READ MORE