Essays about: "Stress Testing Scenarios"

Showing result 1 - 5 of 17 essays containing the words Stress Testing Scenarios.

  1. 1. Probability of Default Machine Learning Modeling : A Stress Testing Evaluation

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

    Author : Tobias Andersson; Mattias Mentes; [2023]
    Keywords : Probability of Default; Machine Learning; Stress Testing; Logistic Regression; Decision Tree; Random Forest; Artificial Neural Network;

    Abstract : This thesis aims to assist in the development of machine learning models tailored for stress testing. The main objective is to create models that can predict loan defaults while considering the impact of macroeconomic stress. READ MORE

  3. 2. Credit Exposure Modelling Using Differential Machine Learning

    University essay from Lunds universitet/Matematisk statistik

    Author : Måns Karp; Samuel Wagner; [2023]
    Keywords : Counterparty credit risk; Differential machine learning; Exposure modelling; Heston model; Option pricing; Mathematics and Statistics;

    Abstract : Exposure modelling is a critical aspect of managing counterparty credit risk, and banks worldwide invest significant time and computational resources in this task. One approach to modelling exposure involves pricing trades with a counterparty in numerous potential future market scenarios. READ MORE

  4. 3. Hur upprätthålls livsmedelsproduktion under samhällskriser? : en studie om kvantifiering av resiliensaspekter inom REKO-ringsproduktion

    University essay from SLU/Dept. of People and Society

    Author : Idun Hjalmarsson; [2023]
    Keywords : resiliens; absorptionskapacitet; adaptiv kapacitet; transformativ kapacitet; livsmedelsberedskap; försörjningsberedskap; livsmedelskedja; sårbarhet;

    Abstract : Frågan om Sveriges självförsörjningsgrad har aktualiserats i samband med en ökad orosnivå i samhället, till följd av krig, pandemier, extremväder och efterföljande distributionskriser i samhället. Dagens globala och komplexa försörjningskedjor innebär att Sverige kan drabbas kraftigt av störningar som sker långt ifrån landets gränser. READ MORE

  5. 4. Evaluating a new hydraulic implementation in LPJ-GUESS for three sites in north Europe

    University essay from Lunds universitet/Institutionen för naturgeografi och ekosystemvetenskap

    Author : Carl Holmquist; [2023]
    Keywords : Physical Geography and Ecosystem analysis; LPJ-GUESS; drought; sensitivity analysis; evapotranspiration; gross primary production; hydraulic parameters; boreal forest.; Earth and Environmental Sciences;

    Abstract : Drought is projected to increase in frequency and intensity and impacts trees with increased water stress and increased mortality rate. Water stresses can cause hydraulic failure-related mortality or carbon starvation due to tree species having different strategies to deal with water stresses. READ MORE

  6. 5. Scenario Generation for Stress Testing Using Generative Adversarial Networks : Deep Learning Approach to Generate Extreme but Plausible Scenarios

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

    Author : Jonas Gustafsson; Conrad Jonsson; [2023]
    Keywords : Machine Learning; Generative Adversarial Network GAN ; Wasserstein Generative Adversarial Network WGAN ; Scenario Generation; Stress Testing; Central Counterparty Clearing;

    Abstract : Central Clearing Counterparties play a crucial role in financial markets, requiring robust risk management practices to ensure operational stability. A growing emphasis on risk analysis and stress testing from regulators has led to the need for sophisticated tools that can model extreme but plausible market scenarios. READ MORE