Essays about: "Internal Ratings Based Approach"
Showing result 1 - 5 of 7 essays containing the words Internal Ratings Based Approach.
-
1. Loss Given Default Estimation with Machine Learning Ensemble Methods
University essay from KTH/Matematisk statistikAbstract : 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
-
2. Developing an Advanced Internal Ratings-Based Model by Applying Machine Learning
University essay from KTH/Matematisk statistikAbstract : 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. Estimation of Loss Given Default Distributions for Non-Performing Loans Using Zero-and-One Inflated Beta Regression Type Models
University essay from KTH/Matematisk statistikAbstract : 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
-
4. Estimating expected lifetime of revolving credit facilities in an IFRS 9 framework
University essay from Lunds universitet/Matematisk statistikAbstract : This paper sets out to estimate expected lifetime of revolving credit facilities (e.g. credit card products) and is motivated by the introduction of the International Financial Reporting Standard 9 (IFRS 9) and its requirements for loan impairments. READ MORE
-
5. Diminishing Risk-Weights Under the Basel II Accord: A Sign of Better Credit Quality or Regulatory Arbitrage?
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : The Basel II-accord aimed to strengthen the financial system by making the banks more solvent. The Internal Ratings Based-model was introduced to create a better connection between risk held and regulatory capital. READ MORE
