Essays about: "Portfolio Credit Risk"

Showing result 21 - 25 of 69 essays containing the words Portfolio Credit Risk.

  1. 21. Statistical Methods for Analysis of the Homeowner's Impact on Property Valuation and Its Relation to the Mortgage Portfolio

    University essay from KTH/Matematisk statistik

    Author : Clara Hamell; [2020]
    Keywords : Mortgage portfolio; Defaulted customers; House valuation; Residential Properety Price Index RPPI ; SPAR; Customer data; Statistical methods; Bolåneportfölj; Fallerade kunder; Husvärdering; Husprisindexering; SPAR; Kunddata; Statistiska metoder;

    Abstract : The current method for house valuations in mortgage portfolio models corresponds to applying a residential property price index (RPPI) to the purchasing price (or last known valuation). This thesis introduces an alternative house valuation method, which combines the current one with the bank's customer data. READ MORE

  3. 22. Duration-Weighted Carbon Footprint Metrics and Carbon Risk Factor for Credit Portfolios

    University essay from KTH/Matematisk statistik

    Author : Erik Hendey Bröte; [2020]
    Keywords : Factor models; carbon footprint; risk factors; carbon risk; Faktormodeller; koldioxidsavtryck; riskfaktorer; kolrisk;

    Abstract : Current standard carbon footprint metrics attribute responsibility for a firm’s green house gas (GHG) emitting activities equally between an entity’s equity and debt. This study introduces a set of novel duration-weighted metrics which take into consideration the length of financing provided. READ MORE

  4. 23. Does Quality Matter?

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Lovisa Jalrup; Sawan Patel; [2020]
    Keywords : Investment strategy; Small-Minus-Big SMB ; size effect; firm quality; Fama-MacBeth two-step regressions.; Business and Economics;

    Abstract : The purpose of this study is to investigate if there is any size effect in the Swedish stock market between April 2010 and December 2019, and if controlling for firms' quality improves the performance of a size-based investment strategy. The risk premium of firms with smaller market value of equity has since its discovery been under heavy scrutiny. READ MORE

  5. 24. The Swedish Value Premium and Disasters: The Missing Piece of the Puzzle?

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Majed Habash; David Öhlund; [2019]
    Keywords : The Value Premium; Disasters; Time-varying Risk;

    Abstract : This paper examines the value premium puzzle in Sweden for the period 2002 - 2016 and attempts to explain the puzzle by accounting for time-varying risk exposure with the inclusion of a proxy for financial disasters risk. The value premium is one of the most persistent financial anomalies and the reasons for its existence have been a hot topic for debate over the past years, with more recent research suggesting that it is a form of compensation for higher exposure to harsh economic downturns, or disasters. READ MORE

  6. 25. Alternative Methods of Estimating Investor´s Risk Appetite

    University essay from KTH/Matematisk statistik

    Author : Felix Kuritzén; [2019]
    Keywords : Risk appetite; Riskaptit;

    Abstract : In this thesis three risk appetite indexes are derived and measured from the beginning of 2006 to the end of the first quarter in 2019. One of the risk appetite indexes relies on annualized returns and volatilities from risky and safe assets while the others relies on subjective and risk neutral probability distributions. READ MORE