Essays about: "Love Lundström"

Found 2 essays containing the words Love Lundström.

  1. 1. Backtesting of simulated method for Counterparty Credit Risk

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

    Author : Love Lundström; Oscar Öhman; [2020]
    Keywords : Counterparty Credit Risk; Risk Factor; Monte Carlo Simulation; Quantitative Backtesting; Statistical Backtesting; OTC Derivative;

    Abstract : After the financial crisis of 2008 regulators found that the derivative market, where financial institutions traded OTC derivatives with each other, played a significantrole in triggering the crisis. This led to the emergence of Counterparty Credit Risk(CCR) which is used to measure the exposure banks have to their counterparties. READ MORE

  2. 2. Machine Learning in credit risk : Evaluation of supervised machine learning models predicting credit risk in the financial sector

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

    Author : Love Lundström; Oscar Öhman; [2019]
    Keywords : Credit risk; probability of default; Logistic regression; Neural network; Decision tree; Random Forest; Kredit risk; sannolikheten att fallera; Logistisk regression; Neurala nätverk; Decision Tree; Random Forest;

    Abstract : When banks lend money to another party they face a risk that the borrower will not fulfill its obligation towards the bank. This risk is called credit risk and it’s the largest risk banks faces. According to the Basel accord banks need to have a certain amount of capital requirements to protect themselves towards future financial crisis. READ MORE