Essays about: "Probability of default. Default probability"

Showing result 6 - 10 of 74 essays containing the words Probability of default. Default probability.

  1. 6. 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

  2. 7. 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; 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

  3. 8. Mergers and Acquisitions and Default Risk: Evidence from Western European Financial Sector

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Teemu Mäkiaho; Henri Rikhard Kiviniemi; [2019]
    Keywords : M A; Default Risk; Merton Model; Probability of Default; Distance-to-Default; Financial Sector; Business and Economics;

    Abstract : The purpose of this paper is to examine the impact of mergers and acquisitions on the default risk of acquiring companies. The sample consists of 276 transactions carried out between 2010 and 2018 by acquirers from Western European financial sector. READ MORE

  4. 9. Study and Case of Wrong-Way Risk : Explorative Search for Wrong-Way Risk

    University essay from Karlstads universitet/Handelshögskolan (from 2013)

    Author : Jonathan Grönberg; [2019]
    Keywords : Wrong-way risk; Credit value adjustment; Debit value adjustment; Bilateral credit value adjustment; Felvägsrisk; Kreditvärdesjustering; Debetvärdesjustering; Bilateral kreditvärdesjustering;

    Abstract : Usage of financial measurements that address the default probability of counterparties have been market practice for some time. Quantifying counterparty credit risk is usually done through the credit value adjustment which adjusts the value from a risk-free value to a risky value. READ MORE

  5. 10. Efficient Monte Carlo Simulation for Counterparty Credit Risk Modeling

    University essay from KTH/Matematisk statistik

    Author : Sam Johansson; [2019]
    Keywords : CCR; OTC derivatives; European option; Bermudan option; CVA; jump-diffusion model; stochastic intensity model; Monte Carlo; variance reduction; importance sampling; least squares Monte Carlo; CCR; OTC-derivat; europeisk option; Bermuda-option; CVA; jump-diffusion-modell; stokastisk intensitetsmodell; Monte Carlo; variansreduktion; importance sampling; least squares Monte Carlo;

    Abstract : In this paper, Monte Carlo simulation for CCR (Counterparty Credit Risk) modeling is investigated. A jump-diffusion model, Bates' model, is used to describe the price process of an asset, and the counterparty default probability is described by a stochastic intensity model with constant intensity. READ MORE