Essays about: "Granularity Adjustment"
Found 3 essays containing the words Granularity Adjustment.
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1. Multi-factor approximation : An analysis and comparison ofMichael Pykhtin's paper “Multifactor adjustment”
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : 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
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2. Approximating Capital Requirement Due to Name Credit Concentration Risk
University essay from Lunds universitet/Företagsekonomiska institutionenAbstract : Since banks provide various forms of credit, they consequently expose the business as well as society to risks. Therefore, global banking regulations exist to ensure that banks keep enough capital for the risks they are taking. READ MORE
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3. Name Concentration Risk and Pillar 2 Compliance : The Granularity Adjustment
University essay from KTH/Matematisk statistikAbstract : A credit portfolio where each obligor contributes infinitesimally to the risk is said to be infinitely granular. The risk related to the fact that no real credit portfolio is infinitely granular, is called name concentration risk. READ MORE