Essays about: "basel framework"

Showing result 1 - 5 of 47 essays containing the words basel framework.

  1. 1. Developing an Advanced Internal Ratings-Based Model by Applying Machine Learning

    University essay from KTH/Matematisk statistik; KTH/Matematisk statistik

    Author : Aso Qader; William Shiver; [2020]
    Keywords : Internal-Ratings Based Approach; Machine Learning; Zero-Inflated Beta Regression; Capital Requirement; Basel Accords;

    Abstract : Since the regulatory framework Basel II was implemented in 2007, banks have been allowed to develop internal risk models for quantifying the capital requirement. By using data on retail non-performing loans from Hoist Finance, the thesis assesses the Advanced Internal Ratings-Based approach. READ MORE

  2. 2. Were Swedish Banks Prepared for the Great Lockdown? Stress Testing Banks’ Capital Levels in Light of Historical Crises and Covid-19

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Simon Leo; Johan Bärnheim; [2020]
    Keywords : Basel; Covid-19; Financial Crises; Financial Stability; Stress Tests; Business and Economics;

    Abstract : In modern history, Sweden has experienced two major financial crises: the early 1990s and the global financial crisis in 2008. During the last decades, there has been an increased global focus on regulating and supervising banks, where Basel III is the leading framework. Today, one of the most debated issues within the global economy is Covid-19. READ MORE

  3. 3. Predicting Default Probability in Credit Risk using Machine Learning Algorithms

    University essay from KTH/Matematisk statistik

    Author : Sarah Kornfeld; [2020]
    Keywords : Credit risk; default probability; machine learning; logsitic regression; basel framework; Kreditrisk; fallissemangssannolikhet; maskininlärning; logistisk regression; baselregelverk;

    Abstract : This thesis has explored the field of internally developed models for measuring the probability of default (PD) in credit risk. As regulators put restrictions on modelling practices and inhibit the advance of risk measurement, the fields of data science and machine learning are advancing. READ MORE

  4. 4. Systemic risks with Contingent Convertible Bonds : A simulated study in systemic risks of triggering CoCos in a stressed European banking system.

    University essay from Uppsala universitet/Nationalekonomiska institutionen

    Author : Mathias Lien Oskarsson; [2019]
    Keywords : Contingent Convertible Bonds; CoCo; Additional Tier 1; Systemic risk; EBA Stress test; Simulation; Point of Non-Viability; Financial resiliency.;

    Abstract : Ever since the great financial crisis of 2008 regulators have pushed toward more resilient banks, resulting in more demanding regulation and an increase of regulator’s insight and power. Through the revision of the BASEL framework, Contingent Convertible Bonds were introduced in 2010 as a part of regulatory capital and has since then grown increasingly popular. READ MORE

  5. 5. The impact of capital regulations: A study of the Basel framework

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Simon Leo; [2019]
    Keywords : Basel III; financial crises; systemic risk; multiple breakpoint test; Business and Economics;

    Abstract : Financial crises are a major issue in modern history. In a great deal of the financial crises there is a banking crisis involved. To regulate and supervise banks the Basel framework was created. With the framework, the aim is to enhance financial stability and to minimize the effect from a potential financial crisis. READ MORE