Essays about: "IT Basel II"

Showing result 1 - 5 of 21 essays containing the words IT Basel II.

  1. 1. Developing an Advanced Internal Ratings-Based Model by Applying Machine Learning

    University essay from KTH/Matematisk statistik

    Author : Aso Qader; William Shiver; [2020]
    Keywords : Internal-Ratings Based Approach; Machine Learning; Zero-Inflated Beta Regression; Capital Requirement; Basel Accords;

    Abstract : Since the regulatory framework Basel II was implemented in 2007, banks have been allowed to develop internal risk models for quantifying the capital requirement. By using data on retail non-performing loans from Hoist Finance, the thesis assesses the Advanced Internal Ratings-Based approach. READ MORE

  3. 2. GARCH models applied on Swedish Stock Exchange Indices

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Wiktor Blad; Vilim Nedic; [2019]
    Keywords : Value-at-Risk; GARCH; GJR-GARCH; EGARCH; student´s t distribution; generalized error distribution; Kupiec´s test; Chrisoffersen´s test; forecast;

    Abstract : In the financial industry, it has been increasingly popular to measure risk. One of the most common quantitative measures for assessing risk is Value-at-Risk (VaR). VaR helps to measure extreme risks that an investor is exposed to. READ MORE

  4. 3. Fundamental review of the trading book - The new approach to measure market risk

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Jonas Drakenberg; Samuel Hegnell; [2017]
    Keywords : Expected Shortfall; Value-at-Risk; Fundamental Review of the Trading Book; Bank for International Settlements; Basel Committee on Banking Supervision; Market risk; Parametric approach; Non-parametric approach; Business and Economics;

    Abstract : The Fundamental Review of the Trading Book sets the standard for the most recent regulatory framework for minimum capital requirement within market risk. It will be implemented gradually up until 2019 and will overhaul a major part of the current regulation. 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 Bayesian Approach to Modeling Operational Risk When Data is Scarce

    University essay from Lunds universitet/Matematisk statistik

    Author : Petter Svensson; [2015]
    Keywords : AMA; Bayesian inference; Basel II; g-and-h distribution; generalized Champernowne distribution; loss distribution approach; operational risk; Mathematics and Statistics;

    Abstract : The goal of this thesis is to investigate whether it is possible to construct an advanced measurement approach (AMA) model for operational risk when the number of internal data points are very scarce. An AMA model should combine internal data, external data, scenario data, and business environment and internal control factors to give a one year VaR estimate with 99. READ MORE