Essays about: "Portfolio Credit Risk"
Showing result 16 - 20 of 69 essays containing the words Portfolio Credit Risk.
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16. Credit Rating Downgrades Amongst Commercial Real Estate Companies on the Swedish Corporate Bond Market : To BBB or not to BBB
University essay from KTH/Fastigheter och byggandeAbstract : In the last decade, Swedish commercial real estate companies have increased their presence on thecorporate bond market significantly. The real estate companies now account for the majority ofoutstanding bonds and the trend appears to continue. READ MORE
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17. Modern Credit Value Adjustment
University essay from KTH/Matematik (Avd.)Abstract : Counterparty risk calculations have gained importance after the latest financial crisis. The bankruptcy of Lehman Brothers showed that even large financial institutiones face a risk of default. Hence, it is important to measure the risk of default for all the contracts written between financial institutions. READ MORE
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18. Consistent Projection of the Balance Sheet : A Holistic Approach to Modelling Interest Rate Risk in the Banking Book
University essay from KTH/Matematik (Avd.)Abstract : When modelling risk in the banking book, a simple capital level approach can fail to capture the interactions between different risk measures or risk classes since they are modelled separately. In this thesis we propose a model for projecting the book value of a run-off balance sheet portfolio of fixed and variable rate loans, while also calculating net interest income, economic value of equity, capital requirement and capital cost within the same model. READ MORE
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19. STRESS TESTING AN SME PORTFOLIO : Effects of an Adverse Macroeconomic Scenario on Credit Risk Transition Matrices
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : The financial crisis of 2007-2008 was a severe global crisis causing a worldwide recession. One of the main contributing factors of the crisis was the excessive risk appetite of banks and financial institutions. READ MORE
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20. Backtesting of simulated method for Counterparty Credit Risk
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : 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