Essays about: "Probability of default. Default probability"

Showing result 26 - 30 of 97 essays containing the words Probability of default. Default probability.

1. 26. On the Proxy Modelling of Risk-Neutral Default Probabilities

   University essay from KTH/Matematisk statistik

   Author : Edvin Lundström; [2020]
   Keywords : Counterparty Credit Risk; Credit Valuation Adjustment; CVA; Credit modelling; Reduced form model; Proxy model; Hazard rate; Cross-section model; Nomura model; Motpartsrisk; Kreditvärderingsjustering; CVA; Kreditmodellering; Proxymodellering; Nomuramodellen;

   Abstract : Since the default of Lehman Brothers in 2008, it has become increasingly important to measure, manage and price the default risk in financial derivatives. Default risk in financial derivatives is referred to as counterparty credit risk (CCR). The price of CCR is captured in Credit Valuation Adjustment (CVA). READ MORE

3. 27. Predicting Default Probability in Credit Risk using Machine Learning Algorithms

   University essay from KTH/Matematisk statistik

   Author : Sarah Kornfeld; [2020]
   Keywords : Credit risk; default probability; machine learning; logsitic regression; basel framework; Kreditrisk; fallissemangssannolikhet; maskininlärning; logistisk regression; baselregelverk;

   Abstract : This thesis has explored the field of internally developed models for measuring the probability of default (PD) in credit risk. As regulators put restrictions on modelling practices and inhibit the advance of risk measurement, the fields of data science and machine learning are advancing. READ MORE

4. 28. Machine Learning in credit risk : Evaluation of supervised machine learning models predicting credit risk in the financial sector

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

   Author : Love Lundström; Oscar Öhman; [2019]
   Keywords : Credit risk; probability of default; Logistic regression; Neural network; Decision tree; Random Forest; Kredit risk; sannolikheten att fallera; Logistisk regression; Neurala nätverk; Decision Tree; Random Forest;

   Abstract : When banks lend money to another party they face a risk that the borrower will not fulfill its obligation towards the bank. This risk is called credit risk and it’s the largest risk banks faces. According to the Basel accord banks need to have a certain amount of capital requirements to protect themselves towards future financial crisis. READ MORE

5. 29. The Impact of Brexit on Levels of Corporate Credit Risk: Evidence from UK and EU Non-financial Companies

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Veronika Výstupová; Haidar Almahrouq; [2019]
   Keywords : Brexit; credit risk; probability of default; Merton model; panel data analysis; Business and Economics;

   Abstract : The impact of the UK’s decision to leave the EU has received a lot of attention in scientific research in recent years. The effect of Brexit on many different variables and factors related to financial markets and general economy has been studied extensively. Corporate credit risk is, however, an area which did not receive as much attention. READ MORE

6. 30. Comparison of Machine Learning Techniques when Estimating Probability of Impairment : Estimating Probability of Impairment through Identification of Defaulting Customers one year Ahead of Time

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

   Author : Alexander Eriksson; Jacob Långström; [2019]
   Keywords : Classification; Imbalanced Data; Machine Learning; Probability of Impairment; Risk Management; Klassificering; Obalanserat Data; Maskininlärning; Probability of Impairment; Riskhantering;

   Abstract : Probability of Impairment, or Probability of Default, is the ratio of how many customers within a segment are expected to not fulfil their debt obligations and instead go into Default. This is a key metric within banking to estimate the level of credit risk, where the current standard is to estimate Probability of Impairment using Linear Regression. READ MORE