Essays about: "basel thesis"

Showing result 16 - 20 of 87 essays containing the words basel thesis.

  1. 16. Estimation of Loss Given Default Distributions for Non-Performing Loans Using Zero-and-One Inflated Beta Regression Type Models

    University essay from KTH/Matematisk statistik

    Author : Carolina Ljung; Maria Svedberg; [2020]
    Keywords : Loss Given Default; Non-Performing Loans; Internal Ratings Based Approach; Basel Accords; Zero-and-One Inflated Beta Regression; Bayesian Inference; Förlust vid fallissemang; Icke-presterande lån; Intern riskklassificeringsmetod; Basel; Utvidgad betaregression; Bayesiansk inferens;

    Abstract : This thesis investigates three different techniques for estimating loss given default of non-performing consumer loans. This is a contribution to a credit risk evaluation model compliant with the regulations stipulated by the Basel Accords, regulating the capital requirements of European financial institutions. READ MORE

  3. 17. An Empirical Study: Expected Shortfall Estimation Methods for a Bank's Trading Book

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Laura Emina Ludolphy; Emilia Johansson; [2020]
    Keywords : Expected Shortfall; Trading Book; Student’s t-distribution; GARCH 1; 1 ; Volatility Weighted Historical Simulation; Business and Economics;

    Abstract : This thesis investigates methods that estimate the Expected Shortfall correctly by passing the Acerbi-Szekely (2014) backtest in both stressed and calm periods. This backtest is added to in this thesis to test against both under- and overestimation of ES. READ MORE

  4. 18. Wasting our future by wasting the Sea : How to combat marine pollution from land-based sources on international and regional level

    University essay from Uppsala universitet/Juridiska institutionen

    Author : Lovisa Fransson; [2020]
    Keywords : Marine pollution from land-based sources; United Nations Convention on the Law of the Sea; the Basel Convention on the Control of Transboundary Movements of Hazardous Wastes and their Disposal; Basel Ban Amendment; the Stockholm Convention on Persistent Organic Pollutants; international waste trade; environmentally sound management of wastes; marine plastic debris; international environmental law of the sea; transboundary marine pollution; UN Sustainable Development Goal 14.1; Agenda 2030;

    Abstract : In the United Nations Convention on the Law of the Sea, the environmental protection of the marine environment was first addressed in a comprehensive manner on an international level. However, the Convention distinguishes between four different sorts of pollution depending on which source the pollution originates from. READ MORE

  5. 19. PROFITABILITY MODELLING FOR CREDIT MARKET COMPANY : MODELLING AND EVALUATION OF PROFITABILITY AND CREDIT RISK FOR LARGE CONTRACTS

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

    Author : Mattias Kvarnerås; Viktor Pettersson; [2020]
    Keywords : Credit Risk; Credit; Modelling; Model; Profitability; Kreditrisk; Modell; Modellering; Lönsamhet;

    Abstract : Risk and profitability are two topics that companies today have to face and deal with. There are different type of risks that either directly or indirectly affect the survival of a company. READ MORE

  6. 20. 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