Essays about: "Credit risk measurement model"

Showing result 1 - 5 of 11 essays containing the words Credit risk measurement model.

1. 1. Multi-factor approximation : An analysis and comparison ofMichael Pykhtin's paper “Multifactor adjustment”

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

   Author : Michael Zanetti; Philip Güzel; [2023]
   Keywords : Credit risk; Value at Risk; Expected Shortfall; Monte Carlo simulation; Advanced Internal Rantings-Based models; Kreditrisk; Value at Risk; Expected Shortfall; Monte Carlo simulation; Advanced Internal Rantings-Based-modeller;

   Abstract : The need to account for potential losses in rare events is of utmost importance for corporations operating in the financial sector. Common measurements for potential losses are Value at Risk and Expected Shortfall. These are measures of which the computation typically requires immense Monte Carlo simulations. READ MORE

3. 2. Measurement of sectoral concentration with multiple factors

   University essay from Uppsala universitet/Statistiska institutionen

   Author : Victor Norrbin; [2022]
   Keywords : Concentration risk; Sector concentration; Credit risk; Time series analysis; Principal component analysis; Monte carlo simulation; Multi-factor model;

   Abstract : One of banks core businesses today is to, in various ways, lend capital to the market and in return receive interest rate. But giving out credit comes with great risk and, therefore, precautions need to be taken. It is impossible to forecast exactly which obligor (borrower) that will default on its exposure. READ MORE

4. 3. Prediction of Credit Risk using Machine Learning Models

   University essay from Uppsala universitet/Signaler och system

   Author : Philip Isaac; [2022]
   Keywords : Credit Risk; Credit Risk Scorecard; Machine Learning; Artificial Intelligence; AI; Logistic Regression; eXtreme Gradient Boosting; ROC-AUC; Binning; Cross-Validation; Correlation;

   Abstract : This thesis aims to investigate different machine learning (ML) models and their performance to find the best performing model to predict credit risk at a specific company. Since granting credit to corporate customers is a part of this company's core business, managing the credit risk is of high importance. READ MORE

5. 4. Research on Credit Risk Measurement of China’s Listed Companies with KMV Model

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Tong Liu; Xiuyi Chen; [2020]
   Keywords : Credit risk measurement model; KMV model; Z-Score model; ST companies; ROC curve.; Business and Economics;

   Abstract : This thesis takes 200 Chinese listed companies as examples within ten years from 2009 to 2018, of which 100 are ST companies and the other 100 are non-ST companies. ST company is a company that has financial problems and was then implemented with special treatment by the China Securities Regulatory Commission. READ MORE

6. 5. 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