Essays about: "Prediction of default"

Showing result 1 - 5 of 48 essays containing the words Prediction of default.

1. 1. Explainable Artificial Intelligence and its Applications in Behavioural Credit Scoring

   University essay from Stockholms universitet/Institutionen för data- och systemvetenskap

   Author : Robert Iain Salter; [2023]
   Keywords : Behavioural Credit Scoring; Deep Learning; Machine Learning; Long Short-Term Memory; Default Prediction;

   Abstract : Credit scoring is critical for banks to evaluate new loan applications and monitor existing customers. Machine learning has been extensively researched for this case; however, the adoption of machine learning methods is minimal in financial risk management. READ MORE

3. 2. A Dual-Lens Approach to Loss Given Default Estimation: Traditional Methods and Variable Analysis

   University essay from KTH/Matematik (Avd.)

   Author : William Jaeckel; Nicolai Versteegh; [2023]
   Keywords : Loss given default; estimering; jämförande studie; variabelanalys; kreditförvaltning; utlåning till små och medelstora företag; riskanalys; Loss given default; estimering; jämförande studie; variabelanalys; kreditförvaltning; utlåning till små och medelstora företag; riskanalys;

   Abstract : This report seeks to thoroughly examine different approaches to estimating Loss Given Default through a comparison of traditional estimation methods, as well as a deeper variable analysis on micro, small, and medium-sized companies using primarily regression decision trees. The comparative study concluded that estimating loss given default depends heavily on business-specific factors and data variety. READ MORE

4. 3. Bankruptcy determinants among Swedish SMEs : - The predictive power of financial measures

   University essay from Uppsala universitet/Företagsekonomiska institutionen

   Author : Oliver Andersson; Henning Kihlberg; [2022]
   Keywords : bankruptcy; default; probability of default; bankruptcy prediction; bankruptcy determinants; SMEs; financial measures; logistic regression;

   Abstract : The main purpose of this paper is to provide evidence of financial leverage, liquidity, profitability, and firm size ability to predict bankruptcy of Swedish small and medium-sized enterprises (SMEs), and to create a bankruptcy prediction model for Swedish SMEs. The sample consists of 1086 Swedish SMEs, among which 543 did go bankrupt between 2015 and 2019. READ MORE

5. 4. Deep Learning Approach for Time- to-Event Modeling of Credit Risk

   University essay from KTH/Matematisk statistik

   Author : Mehnaz Kazi; Natalija Stanojlovic; [2022]
   Keywords : Survival Analysis; Credit Risk; Credit Scoring; Time-To-Event; Default Probability; Överlevnadsanalys; Kreditrisk; Kreditprövning; Tid-till-utfall; Sannolikhet för fallissemang;

   Abstract : This thesis explores how survival analysis models performs for default risk prediction of small-to-medium sized enterprises (SME) and investigates when survival analysis models are preferable to use. This is examined by comparing the performance of three deep learning models in a survival analysis setting, a traditional survival analysis model Cox Proportional Hazards, and a traditional credit risk model logistic regression. READ MORE

6. 5. 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