Essays about: "Probability of default. Default probability"

Showing result 21 - 25 of 74 essays containing the words Probability of default. Default probability.

  1. 21. Reverse Robin Hood. A Swedish Assessment of the Distress Puzzle

    University essay from Göteborgs universitet/Graduate School

    Author : Caroline Robertsson; Emil Jangvik; [2017-07-25]
    Keywords : Financial distress; Z-score; O-score; Portfolio analysis; Distress Puzzle; Asset pricing; Corporate Finance; Distress Risk; Logit analysis;

    Abstract : MSc in Finance.... READ MORE

  3. 22. A study of the Basel III CVA formula

    University essay from

    Author : Rickard Olovsson; Erik Sundberg; [2017-07-03]
    Keywords : Basel III; Credit Value Adjustment; Counterparty Credit Risk; Credit Default Swap; Interest Rate Swap; Piecewise Constant Default Intensity; Bootstrapping; Expected Exposure; Internal Model Method;

    Abstract : In this thesis we compare the official Basel III method for computing credit value adjustment (CVA) against a model that assumes piecewise constant default intensities for a number of both market and fictive scenarios. CVA is defined as the price deducted from the risk-free value of a bilateral derivative to adjust for the counterparty credit risk. READ MORE

  4. 23. Estimation of Probability of Default in Low Default Portfolios

    University essay from Lunds universitet/Matematisk statistik

    Author : Linnéa Gerhardsson; Nina Castor; [2017]
    Keywords : Probability of default; PD; Low default portfolio; LDP; BCR; Bayesian; Vasicek; Monte Carlo; subportfolios; grade level estimates.; Mathematics and Statistics;

    Abstract : Estimation of probability of default (PD) is a fundamental part of credit risk modeling, and estimation of PD in low default portfolios is a common issue for banks and financial institutions. The Basel Committee on Banking Supervision requires banks and financial institutions to add an additional margin of conservatism to its PD estimates in the case of insufficient data, as in low default portfolios with few default observations. READ MORE

  5. 24. Cleaning and stimulation of teats in an Automated Milking Rotary

    University essay from SLU/Dept. of Animal Nutrition and Management

    Author : Louise Juhlin; [2017]
    Keywords : attachment failure; ; incomplete milking; ; milking efficiency; ; milk let down; ; washing time;

    Abstract : Abstract In automatic milking systems (AMS) teat cleaning and stimulation of milk let-down are performed automatically in a standardized process before milking. The settings for teat cleaning must meet the requirements for hygienic quality of the milk delivered to the dairy plants. READ MORE

  6. 25. Modeling credit risk for an SME loan portfolio: An Error Correction Model approach

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Jonathan Lindgren; [2017]
    Keywords : Error Correction Model; Credit risk; Risk management; Regression; Econometrics; Mathematical analysis; Probability of Default; Loss Given Default; Finance; Mathematical modeling; Kreditrisk; Risk hantering; Finans; Ekonometri; Matematisk modellering; Sannolikhet för Fallissemang; Förlust givet Fallissemang;

    Abstract : Sedan den globala finanskrisen 2008 har flera stora regelverk införts för att säkerställa att banker hanterar risker på sunt sätt. Bland dessa regelverk är Basel II som infört kapitalkrav för kreditrisk som baseras på Sannolikhet för Fallissemang och Förlust Givet Fallissemang. READ MORE