Essays about: "Non-performing loans"
Showing result 6 - 10 of 21 essays containing the words Non-performing loans.
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6. 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
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7. 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
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8. Determinants of Non-Performing Loans: A Panel Data Empirical Analysis for South European Countries
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : The paper analyzes the determinants of non-performing loans in 19 European banks in Portugal, Italy, Greece and Spain based on quarterly data between 2006–2018. We implement a panel data model with interactive effects, which accounts for unobserved heterogeneity and cross-sectional dependence. READ MORE
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9. Debt recovery prediction in securitized non-performing loans using machine learning
University essay from KTH/Matematisk statistikAbstract : Credit scoring using machine learning has been gaining attention within the research field in recent decades and it is widely used in the financial sector today. Studies covering binary credit scoring of securitized non-performing loans are however very scarce. READ MORE
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10. Micro Drivers behind the Changes of CET1 Capital Ratio : An empirical analysis based on the results of EU-wide stress test
University essay from Högskolan i Jönköping/IHH, FöretagsekonomiAbstract : Background: Stress tests have been increasingly used as a part of the supervisory tool by national regulators after the financial crisis, which can also be used to conduct authorities’ supervisory for determining bank capital levels, assessing the health of a bank. Purpose: The main purpose of this study is to assess whether some micro factors play important roles on the changes of Common Equity Tier One Capital Ratio (between the bank accounting value and the stress testing results under the adverse scenarios). READ MORE
