Essays about: "Intern riskklassificeringsmetod"

Found 2 essays containing the words Intern riskklassificeringsmetod.

  1. 1. Loss Given Default Estimation with Machine Learning Ensemble Methods

    University essay from KTH/Matematisk statistik

    Author : Elina Velka; [2020]
    Keywords : Loss Given Default; Non-Performing Loans; Internal Ratings Based Approach; Machine Learning; Decision Tree; Random Forest; Boosted Method; Förlust vid fallissemang; Icke-presterande lån; Intern riskklassificeringsmetod; Maskininlärning; Decision Tree; Random Forest; Boosted Metod;

    Abstract : This thesis evaluates the performance of three machine learning methods in prediction of the Loss Given Default (LGD). LGD can be seen as the opposite of the recovery rate, i.e. the ratio of an outstanding loan that the loan issuer would not be able to recover in case the customer would default. READ MORE

  3. 2. Estimation of Loss Given Default Distributions for Non-Performing Loans Using Zero-and-One Inflated Beta Regression Type Models

    University essay from KTH/Matematisk statistik

    Author : Carolina Ljung; Maria Svedberg; [2020]
    Keywords : Loss Given Default; Non-Performing Loans; Internal Ratings Based Approach; Basel Accords; Zero-and-One Inflated Beta Regression; Bayesian Inference; Förlust vid fallissemang; Icke-presterande lån; Intern riskklassificeringsmetod; Basel; Utvidgad betaregression; Bayesiansk inferens;

    Abstract : This thesis investigates three different techniques for estimating loss given default of non-performing consumer loans. This is a contribution to a credit risk evaluation model compliant with the regulations stipulated by the Basel Accords, regulating the capital requirements of European financial institutions. READ MORE