Essays about: "Risk Weighted Assets RWA ."

Found 3 essays containing the words Risk Weighted Assets RWA ..

  1. 1. Strategic optimization of a global bank capital management using statistical methods on open data

    University essay from KTH/Matematisk statistik

    Author : Thibaud Barreau; [2020]
    Keywords : datascience; regression; genetic algorithms; capital management; statistics; banking; datavetenskap; regression; genetiska algoritmer; kapitalhantering; statistik; bank;

    Abstract : This project is about the optimization of the capital management of a French global bank. Capital management corresponds here to allocating the available capital to the different business units. READ MORE

  3. 2. Modelling Credit Risk: Estimation of Asset and Default Correlation for an SME Portfolio

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

    Author : Yaxum Cedeno; Rebecca Jansson; [2018]
    Keywords : Basel Capital Accord; Capital Requirements; SME; Portfolio Credit Risk; Monte-Carlo Simulations; Risk Weighted Assets RWA .; BaselKapitalavtal; Kapitalkrav; SME; PortföljKreditrisk; Monte-Carlo Simuleringar; Riskvägda Tillgångar RWA .;

    Abstract : When banks lend capital to counterparties they take on a risk, known as credit risk which traditionally has been the largest risk exposure for banks. To be protected against potential default losses when lending capital, banks must hold a regulatory capital that is based on a regulatory formula for calculating risk weighted assets (RWA). READ MORE

  4. 3. Pricing contingent convertible bonds: A numerical implementation with the hybrid equity-credit model

    University essay from Göteborgs universitet/Graduate School

    Author : Maggie Wan-Chun Bogert; Zhang Zhao; [2017-07-25]
    Keywords : Contingent Convertible Bonds; Equity-credit Model; CoCos; Fortet Algorithms; Pricing;

    Abstract : The contingent convertible (CoCo) bond is a loss-absorbing instrument which can be converted mandatorily to common equity when a trigger event happens, such as the bookvalue trigger and the discretionary trigger. The book-value trigger means that once the capital ratio hits the pre-specified threshold, the equity conversion will be activated. READ MORE