Essays about: "Probability of default. Default probability"

Showing result 41 - 45 of 97 essays containing the words Probability of default. Default probability.

1. 41. Modelling Probability of Default in the Nordics

   University essay from Lunds universitet/Matematisk statistik

   Author : Egil Nordgren; Carl Göransson; [2018]
   Keywords : Credit risk; Probability of default; Logistic regression; Risk-drivers; Mathematics and Statistics;

   Abstract : Credit risk is one of the greatest risks facing financial institutions, and it is therefore very important that models with good predictive power are used in order to etter capture this risk. This thesis proposes logistic regression models for modelling risk-drivers of the probability of default in a financial institution active in he Nordics. READ MORE

3. 42. Readjusting Historical Credit Ratings : using Ordered Logistic Regression and Principal ComponentAnalysis

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

   Author : Axel Cronstedt; Rebecca Andersson; [2018]
   Keywords : Ordered Logistic Regression; Principal Component Analysis; MacroEconomic Variables; Credit Risk; Credit Ratings; Multivariate Time SeriesData; Ordinal logistisk regression; Principalkomponentanalys; Makro-ekonomiska variabler; Kreditratings; Multivariata tidsserier;

   Abstract : Readjusting Historical Credit Ratings using Ordered Logistic Re-gression and Principal Component Analysis The introduction of the Basel II Accord as a regulatory document for creditrisk presented new concepts of credit risk management and credit risk mea-surements, such as enabling international banks to use internal estimates ofprobability of default (PD), exposure at default (EAD) and loss given default(LGD). These three measurements is the foundation of the regulatory capitalcalculations and are all in turn based on the bank’s internal credit ratings. READ MORE

4. 43. A company’s ability Not to default on a loan : Does the location have an impact?

   University essay from KTH/Skolan för industriell teknik och management (ITM)

   Author : ALYCIA SUNDQVIST; [2018]
   Keywords : Location; municipality; ability to pay; logistic regression; Lokalisering; kommun; betalningsf¨orm˚aga; logistisk regression;

   Abstract : This thesis aims to answer the question if the type of region or category of a municipality in which a company is located in, impacts the company’s ability not to default on a loan. Previous literature is used to find which determinants have an impact on a company’s survival from five levels: Macro, Industry, Regional, Company and Individual entrepreneur. READ MORE

5. 44. 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 : This research adopts some of the most well-known models to predict financial distress to be able to investigate whether firms with higher probability to default and thereby incorporating more risk do provide investors with a higher return in the Swedish market. We create portfolios sorted on the predicted probability of the financial distress and subsequently perform a portfolio analysis to investigate the risk return relationship. READ MORE

6. 45. 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