Essays about: "Solvency"
Showing result 16 - 20 of 69 essays containing the word Solvency.
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16. Pricing of a balance sheet option limited by a minimum solvency boundary
University essay from KTH/Matematisk statistikAbstract : Pension companies are required by law to remain above a certain solvency level. The main purpose of this thesis is to determine the cost of remaining above a lower solvency level for different pension companies. This will be modelled by an option with a balance sheet as the underlying asset. READ MORE
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17. Credit Risk and Asset Correlation Modelling for the Swedish Market: A Comparative Analysis
University essay from KTH/Matematisk statistikAbstract : In order to ensure solvency, financial institutions must evaluate their credit risk exposure and determine how much economic capital is required to hold as a cushion. This thesis compares three factor models, namely Asymptotic Single Risk Factor (“ASRF”), Inter-sector and Intra-sector factor models and evaluates how their different characteristics affect the economic capital outcomes. READ MORE
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18. Contingent Convertible Bonds and the Optimal Default Barrier
University essay from Göteborgs universitet/Graduate SchoolAbstract : This thesis provides a comprehensive overview of the sensitivity of the optimal default barrier in regard to its input parameters and the use of contingent convertible bonds. Contingent convertible bonds are financial instruments designed to help banks prevent default and absorb losses by converting from debt to equity in times of financial distress. READ MORE
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19. Consolidating Multi-Factor Models of Systematic Risk with Regulatory Capital
University essay from KTH/Matematisk statistikAbstract : To maintain solvency intimes of severe economic downturns banks and financialinstitutions keep capital cushions that reflect the risks in the balance sheet.Broadly,how much capital that is being held is a combination of external requirementsfromregulators and internal assessments of credit risk. READ MORE
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20. Solvency Capital Requirement Coverage Ratio at Risk
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : The Solvency II regulation is an important part of a property insurance company's reality. There is a need to complement the risk management focus on value changes and the financial result with a focus on the regulatory consequences of the value changes. READ MORE