Essays about: "IRB approach"

Showing result 1 - 5 of 7 essays containing the words IRB approach.

  1. 1. Credit Risk Modelling - An IRB & Machine Learning Approach

    University essay from Lunds universitet/Matematisk statistik

    Author : Jan Müller; [2020]
    Keywords : Mathematics and Statistics;

    Abstract : .... READ MORE

  3. 2. IN SEARCH OF A PARSIMONIOUS BANKRUPTCY MODEL FOR PRIVATE FIRMS AND THE COST TO LENDERS

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : John-Edward Olingsberg; Oscar Küntzel; [2019]
    Keywords : Private Default Prediction; Hazard Model; Basel III; Misclassification Costs; Parsimonious;

    Abstract : This paper comprehensively reviews in excess of 200 financial and non-financial covariates in search of a parsimonious bankruptcy prediction model for the private market. Financial and real-estate companies aside, the entire population of Swedish independent, limited liability companies are examined between 1998-2017 corresponding to 245,844 unique companies and 55,411 corporate default events. READ MORE

  4. 3. Sensor-Based Trajectory Planning in Dynamic Environments

    University essay from Linköpings universitet/Reglerteknik

    Author : Andreas Westerlund; [2018]
    Keywords : Control Engineering; Control Architecture; Motion Control; Trajectory Planning; Path Planning; Optimal Control; Motion Planning; Industrial Robots;

    Abstract : Motion planning is central to the efficient operation and autonomy of robots in the industry. Generally, motion planning of industrial robots is treated in a two-step approach. First, a geometric path between the start and goal position is planned where the objective is to achieve as short path as possible together with avoiding obstacles. READ MORE

  5. 4. The impact of the IRB approach on the Swedish bank system

    University essay from KTH/Fastigheter och byggande

    Author : Agnes Wenell; Simon Sjödin; [2016]
    Keywords : Basel II; IRB approach; credit risk; capitalization; Basel II; IRK-modeller; kreditrisk; kapitalisering;

    Abstract : Since the implementation of the Basel II framework in 2007, banks have been given the  opportunity to apply for the option to develop intern models for calculating their required capital. The purpose with this opportunity is that the capital requirements will correspond to the real risk exposure. READ MORE

  6. 5. A comparison of the IRB approach and the Standard Approach under CRR for purchased defaulted retail exposures

    University essay from KTH/Matematisk statistik

    Author : Simon Måssebäck; [2014]
    Keywords : ;

    Abstract : We investigate under what circumstances the IRB approach under Regulation (EU) no 575/2013 (Capital Requirements Regulation) renders a lower capital requirement for purchased defaulted retail exposures than under the Standard Approach of the same regulation. We also discuss some alternative approaches to calculating the capital requirement for the mentioned exposures. READ MORE