Essays about: "Internal Risk Rating"

Showing result 1 - 5 of 15 essays containing the words Internal Risk Rating.

1. 1. A multi-gene symbolic regression approach for predicting LGD : A benchmark comparative study

   University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

   Author : Hanna Tuoremaa; [2023]
   Keywords : Symbolic regression; loss given default; credit risk; logit transformed regression; beta regression; multi-gene genetic programming; regression tree;

   Abstract : Under the Basel accords for measuring regulatory capital requirements, the set of credit risk parameters probability of default (PD), exposure at default (EAD) and loss given default (LGD) are measured with own estimates by the internal rating based approach. The estimated parameters are also the foundation of understanding the actual risk in a banks credit portfolio. READ MORE

3. 2. Next generation rear axle assembly - A case study of Scania CV AB

   University essay from Lunds universitet/Produktionsekonomi

   Author : Richard Andrae; William Bergmark; [2021]
   Keywords : Assembly line; Rear Axle; Automation; Industry 4.0; Ergonomics; Takt time; Technology and Engineering;

   Abstract : Title: Next generation rear axle assembly - A case study at Scania Authors: Richard Andrae & William Bergmark Background: Following the development of industry 4.0, new production technologies enabling more efficient assembly processes constantly evolve. READ MORE

4. 3. Readjusting Historical Credit Ratings : using Ordered Logistic Regression and Principal ComponentAnalysis

   University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

   Author : Axel Cronstedt; Rebecca Andersson; [2018]
   Keywords : Ordered Logistic Regression; Principal Component Analysis; MacroEconomic Variables; Credit Risk; Credit Ratings; Multivariate Time SeriesData; Ordinal logistisk regression; Principalkomponentanalys; Makro-ekonomiska variabler; Kreditratings; Multivariata tidsserier;

   Abstract : Readjusting Historical Credit Ratings using Ordered Logistic Re-gression and Principal Component Analysis The introduction of the Basel II Accord as a regulatory document for creditrisk presented new concepts of credit risk management and credit risk mea-surements, such as enabling international banks to use internal estimates ofprobability of default (PD), exposure at default (EAD) and loss given default(LGD). These three measurements is the foundation of the regulatory capitalcalculations and are all in turn based on the bank’s internal credit ratings. READ MORE

5. 4. Modeling credit risk for an SME loan portfolio: An Error Correction Model approach

   University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

   Author : Jonathan Lindgren; [2017]
   Keywords : Error Correction Model; Credit risk; Risk management; Regression; Econometrics; Mathematical analysis; Probability of Default; Loss Given Default; Finance; Mathematical modeling; Kreditrisk; Risk hantering; Finans; Ekonometri; Matematisk modellering; Sannolikhet för Fallissemang; Förlust givet Fallissemang;

   Abstract : Sedan den globala finanskrisen 2008 har flera stora regelverk införts för att säkerställa att banker hanterar risker på sunt sätt. Bland dessa regelverk är Basel II som infört kapitalkrav för kreditrisk som baseras på Sannolikhet för Fallissemang och Förlust Givet Fallissemang. READ MORE

6. 5. 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