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Showing result 1 - 5 of 16 essays matching the above criteria.
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1. Peeking Through the Leaves : Improving Default Estimation with Machine Learning : A transparent approach using tree-based models
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : In recent years the development and implementation of AI and machine learning models has increased dramatically. The availability of quality data paving the way for sophisticated AI models. Financial institutions uses many models in their daily operations. READ MORE
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2. The Impact of Loan Loss Provision on EU Listed Banks Under Local GAAP and IFRS
University essay from Göteborgs universitet/Graduate SchoolAbstract : The aim of this study is to investigate the impact of loan loss provision (LLP) under the International Financial Report Standards (IFRS) and local Generally Accepted Accounting Principles (GAAP) in European publicly traded banks’ earnings and the change of stock prices. For this purpose, I empirically investigate the association between LLPs and earnings, LLPs and change of stock price for 132 banks in 22 European Union (EU) countries. READ MORE
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3. Capital Management at the Dawn of IFRS 9: Were Loan Loss Provisions used to Manage Regulatory Capital in European Banks during the Transition to IFRS 9?
University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansieringAbstract : On January 1, 2018 IFRS 9 and the Expected Credit Loss model were mandatorily adopted by all IFRS compliant entities (IASB, 2017). Recent research has criticized the Expected Credit Loss model for increasing bank managers' discretion over loan loss provisions and noted its potential implications for financial stability (Bushman & Williams, 2012; Novotny-Farkas, 2016; Krüger et al. READ MORE
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4. Transition Matrices Conditional on Macroeconomic Cycles: A Portfolio Stress-Test Application
University essay from Göteborgs universitet/Graduate SchoolAbstract : Transition matrices show the probabilities of credit rating migrations for a pool of ratings within a particular industry, geographical area, time-horizon, etc. Regulation, in the form of Basel accords, has opted for standards in banking that among other techniques use transition matrices, and thus the probability of default, for internally-based risk-assessment, as well as incorporating the external credit rating in the capital requirement calculation. READ MORE
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5. Financial Reporting for Contingent Convertibles in Banks: Liability or Equity?
University essay from Göteborgs universitet/Graduate SchoolAbstract : Economic development in the capital markets has led to the creation of financial instruments that have the characteristics of both equity and liability, so-called hybrid financial instruments. IASB is trying to create a new way of classifying this kind of instruments. READ MORE
