Essays about: "Portfolio Credit Risk"

Showing result 11 - 15 of 69 essays containing the words Portfolio Credit Risk.

  1. 11. PEPP Talk: The Impact of the ECB's Pandemic Emergency Purchase Programme on the Corporate Bond Market

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Lorenzo Gianni Günther; Emma Lundblad; [2022]
    Keywords : Quantitative Easing; The European Central Bank; The Pandemic Emergency Purchase Programme; Corporate Bonds; Covid-19; Credit Spread; Business and Economics;

    Abstract : Purpose: This thesis aims to evaluate whether the ECB’s Pandemic Emergency Purchase Programme (PEPP) cushioned the Covid-19 crisis’ impact on the Euro area’s corporate bond market and relieved borrowing conditions. Methodology: The methodology is based upon unbalanced panel data and difference-in-differences regressions with firm-clustered standard errors. READ MORE

  3. 12. Optimization of Collateral Allocation for Corporate Loans : A nonlinear network problem minimizing the expected loss in case of default

    University essay from KTH/Matematik (Avd.)

    Author : Sofia Grägg; Paula Isacson; [2022]
    Keywords : Nonlinear optimization; network problem; transportation problem; Markowitz; credit risk; Loss Given Default; Loan to Value; collateral management; many-to-many relations; modern portfolio theory; expected loss; risk management; optimization; allocation; portfolio; modeling; Icke-linjär optimering; nätverksproblem; transportproblem; Markowitz; kreditrisk; förlust givet fallisemang; belåningsgrad; säkerhetshantering; många-till-många relationer; modern portföljteori; förväntad förlust; riskhantering; optimering; allokering; portfölj; modellering.;

    Abstract : Collateral management has become an increasingly valuable aspect of credit risk. Managing collaterals and constructing accurate models for decision making can give any lender a competitive advantage and decrease overall risks. READ MORE

  4. 13. A comparison of the Basel III capital requirement models for financial institutions

    University essay from Lunds universitet/Matematisk statistik

    Author : Sara Johannesson; Amanda Wahlberg; [2022]
    Keywords : Basel III; Internal Model Method IMM ; Standardized Approch for Counterparty Credit Risk SA-CCR ; Counterparty Credit Risk; Capital Requirement; Mathematics and Statistics;

    Abstract : The purpose of this report is to implement and compare the two Basel III standard methods on how to calculate the capital requirement for finan- cial institutions, related to counterparty credit risk. The models being the Standardized Approach for Counterparty Credit Risk (SA-CCR) and the Internal Model Method (IMM). READ MORE

  5. 14. An Efficient Market Study of European CDS and Equity Markets

    University essay from Umeå universitet/Företagsekonomi

    Author : Fredric Wållberg; Leo Lundberg; [2022]
    Keywords : Efficient Market Theory; Financial Crash; Price Discovery Process; CDS;

    Abstract : This thesis investigates the price discovery process between the stock and the credit default swap market (CDS). We link the financial theory of efficient markets and the underlying models and conditions involved in CDSs, the stock market and financial crashes. READ MORE

  6. 15. Model for Central Counterparty Risk with Stochastic Default Intensities

    University essay from Göteborgs universitet/Graduate School

    Author : Francesco Marconi; [2021-09-30]
    Keywords : ;

    Abstract : In this thesis we use a dynamic model to compute several margins required by a central counterparty, the central clearing house (CCP), to the participants, called clearing members (CM). These margins form the so called default waterfall. In this market only credit default swaps (CDS) are exchanged. READ MORE