Essays about: "Default Modelling"

Showing result 1 - 5 of 51 essays containing the words Default Modelling.

  1. 1. Modelling Proxy Credit Cruves Using Recurrent Neural Networks

    University essay from KTH/Matematisk statistik

    Author : Lucas Fageräng; Hugo Thoursie; [2023]
    Keywords : Deep Neural Networks; Credit Risk; Financial Modelling; LSTM; Credit Default Swaps; Credit Valuation Adjustment; Djupa Neurala Nätverk; Kreditrisk; Finansiell Modellering; LSTM; Kreditswappar; Kreditvärderingsjustering;

    Abstract : Since the global financial crisis of 2008, regulatory bodies worldwide have implementedincreasingly stringent requirements for measuring and pricing default risk in financialderivatives. Counterparty Credit Risk (CCR) serves as the measure for default risk infinancial derivatives, and Credit Valuation Adjustment (CVA) is the pricing method used toincorporate this default risk into derivatives prices. READ MORE

  3. 2. Portfolio Risk Modelling in Venture Debt

    University essay from KTH/Matematisk statistik

    Author : John Eriksson; Jacob Holmberg; [2023]
    Keywords : Startup Default Probability; Venture Debt; Gaussian Copula; Value-at-Risk; Expected Shortfall; Exposure at Default; Loss Given Default; Forecast; Linear Dynamic System; ARIMA Time Series; Monte Carlo Simulation; Linear Regression; Central Limit Theorem;

    Abstract : This thesis project is an experimental study on how to approach quantitative portfolio credit risk modelling in Venture Debt portfolios. Facing a lack of applicable default data from ArK and publicly available sets, as well as seeking to capture companies that fail to service debt obligations before defaulting per se, we present an approach to risk modeling based on trends in revenue. READ MORE

  4. 3. Applying the Shadow Rating Approach: A Practical Review

    University essay from KTH/Matematik (Avd.)

    Author : Viktor Barry; Carl Stenfelt; [2023]
    Keywords : Shadow Rating; probability of default; low default portfolio; credit risk; statistical learning; financial regulation; Basel; Pluto and Tasche; Skuggrating; sannolikhet av fallissemang; lågfallissemangsportfölj; kreditrisk; statistisk inlärning; finansiella regelverk; Basel; Pluto och Tasche;

    Abstract : The combination of regulatory pressure and rare but impactful defaults together comprise the domain of low default portfolios, which is a central and complex topic that lacks clear industry standards. A novel approach that utilizes external data to create a Shadow Rating model has been proposed by Ulrich Erlenmaier. READ MORE

  5. 4. Artificial Neural Networks and Inductive Biases for Multi-Instance Multi-Modal Tabular Data : A Case Study for Default Probability Estimation in Small-to-Medium Enterprise Lending

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

    Author : Gustav Röhss; [2022]
    Keywords : ;

    Abstract : The success of artificial neural networks in homogeneous data domains such as images, textual data, and audio and other signals has had considerable impact on Machine Learning and science in general. The domain of heterogeneous tabular data, while arguably much more common, remains much less explored with regards to artificial neural networks and deep learning. READ MORE

  6. 5. Copula Modelling of High-Dimensional Longitudinal Binary Response Data

    University essay from KTH/Matematik (Avd.)

    Author : Nils Henningsson; [2022]
    Keywords : Copula; latent model; variational inference; Copula; latent modell; variational inference;

    Abstract : This thesis treats the modelling of a high-dimensional data set of longitudinal binary responses. The data consists of default indicators from different nations around the world as well as some explanatory variables such as exposure to underlying assets. READ MORE