Essays about: "Dynamic credit modelling"
Found 3 essays containing the words Dynamic credit modelling.
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1. Portfolio Risk Modelling in Venture Debt
University essay from KTH/Matematisk statistikAbstract : 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
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2. 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 statistikAbstract : 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
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3. Dynamic Credit Models : An analysis using Monte Carlo methods and variance reduction techniques
University essay from KTH/Matematisk statistikAbstract : In this thesis, the credit worthiness of a company is modelled using a stochastic process. Two credit models are considered; Merton's model, which models the value of a firm's assets using geometric Brownian motion, and the distance to default model, which is driven by a two factor jump diffusion process. READ MORE