Essays about: "European Banks"

Showing result 6 - 10 of 160 essays containing the words European Banks.

1. 6. Capturing time variation within systemic risk estimation

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Christian Hovstadius; Baltsar Lindgren; [2023]
   Keywords : Systemic risk; CoVaR; State variables; Lasso; PCA; Business and Economics;

   Abstract : Systemic risk can be defined as the risk to the whole financial system. Financial institutions may contribute more or less to this risk, and measuring the systemic risk contributions of institutions is of central importance for regulators. READ MORE

3. 7. Credit Exposure Modelling Using Differential Machine Learning

   University essay from Lunds universitet/Matematisk statistik

   Author : Måns Karp; Samuel Wagner; [2023]
   Keywords : Counterparty credit risk; Differential machine learning; Exposure modelling; Heston model; Option pricing; Mathematics and Statistics;

   Abstract : Exposure modelling is a critical aspect of managing counterparty credit risk, and banks worldwide invest significant time and computational resources in this task. One approach to modelling exposure involves pricing trades with a counterparty in numerous potential future market scenarios. READ MORE

4. 8. Uncovering the Role of Urban Governance Practices for Nature-based Solutions: Investigating the Instrumentalization Pathways in European Cities

   University essay from Lunds universitet/Internationella miljöinstitutet

   Author : Malek Al Jebaie; [2023]
   Keywords : Earth and Environmental Sciences;

   Abstract : Nature-based solutions (NbS) have proven effective in addressing urban sustainability challenges. This thesis focuses on bridging the gap in NbS short-term interventions, scale, and financial barriers. READ MORE

5. 9. Into the Trading Book: Estimating Expected Shortfall

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Robin Eric Schmutz; Leonard Schneider; [2023]
   Keywords : Expected shortfall; Trading book; Historical simulation; Parametric estimation; Backtesting; Business and Economics;

   Abstract : In light of the revised 2019 proposals constituting the Fundamental Review of the Trading Book, which amend the third Basel Accord, expected shortfall is set to replace value at risk as the risk measure dictating banks' capital reserving requirements for exposure to market risk. This paper examines how best to accurately estimate expected shortfall from a regulatory perspective by carrying out an array of non-parametric as well as parametric methods over the recent years of financial instability. READ MORE

6. 10. Modeling Interest Rate Risk in the Banking Book

   University essay from KTH/Matematik (Avd.)

   Author : Måns Ulmgren; [2022]
   Keywords : applied mathematics; IRRBB; Nelson Siegel; yield curve; tillämpad matematik; IRRBB; Nelson Siegel; avkastningskurva;

   Abstract : For a long time, being able to model and mitigate financial risk has been a key success factor for institutions. Apart from an internal incentive, legal and regulatory requirements continue to develop which increases the need for extensive internal risk control. READ MORE