Essays about: "credit institution"

Showing result 1 - 5 of 32 essays containing the words credit institution.

  1. 1. Increasing explainability of neural network based retail credit risk models

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Anton Evilevitch; [2023]
    Keywords : Explainability; Artificial Neural Network; Mortgage Credit Risk Modeling; Förklarbarhet; Artificiella Neurala Nätverk; Modellering av Hypotekskreditrisk;

    Abstract : Due to their ’black box’ nature, Artificial Neural Networks (ANN) are not permitted for use in various applications. One such application is mortgage credit risk modeling. READ MORE

  3. 2. A comparison of the Basel III capital requirement models for financial institutions

    University essay from Lunds universitet/Matematisk statistik

    Author : Sara Johannesson; Amanda Wahlberg; [2022]
    Keywords : Basel III; Internal Model Method IMM ; Standardized Approch for Counterparty Credit Risk SA-CCR ; Counterparty Credit Risk; Capital Requirement; Mathematics and Statistics;

    Abstract : The purpose of this report is to implement and compare the two Basel III standard methods on how to calculate the capital requirement for finan- cial institutions, related to counterparty credit risk. The models being the Standardized Approach for Counterparty Credit Risk (SA-CCR) and the Internal Model Method (IMM). READ MORE

  4. 3. Probability of Default Term Structure Modeling : A Comparison Between Machine Learning and Markov Chains

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

    Author : Hugo Englund; Viktor Mostberg; [2022]
    Keywords : Machine Learning; Deep Neural Networks; XGBoost; Probability of Default; Term Structure Modeling; IFRS 9; Maskininlärning; Djupa neuronnät; XGBoost; Fallisemangsrisk; Terminsstruktursmodellering; IFRS 9;

    Abstract : During the recent years, numerous so-called Buy Now, Pay Later companies have emerged. A type of financial institution offering short term consumer credit contracts. As these institutions have gained popularity, their undertaken credit risk has increased vastly. Simultaneously, the IFRS 9 regulatory requirements must be complied with. READ MORE

  5. 4. Pricing of Embedded Options: Implementing Stochastic Interest Rates & Stochastic Spread

    University essay from Lunds universitet/Matematisk statistik

    Author : Jan Müller; [2022]
    Keywords : Option pricing; Callable bonds; Affine term structure models; Hull-White one-factor; Hull White two-factor; Trinomial trees; Short rate; Default intensity; Swaption volatilities; Black-76; Credit derivatives; Calibration; Optimisation.; Mathematics and Statistics;

    Abstract : Given the current market climate, in an era of negative interest-rates, the Hull-White model has regained popularity in the eyes of investors. This thesis aims to extend this model to incorporate credit risk, to allow the modelling of credit derivatives such as diff swaps, defaultable corporate bonds and credit default swaps. READ MORE

  6. 5. Artificial Intelligence and Machine Learning usage in credit risk management - A study from the Swedish financial services industry

    University essay from Göteborgs universitet/Företagsekonomiska institutionen

    Author : Aila Emma Mesihovic; Henrik Nordström; [2021-02-24]
    Keywords : ;

    Abstract : Credit risk management is a fundamental process established in almost every financial institution. There are various tools and methods that financial institutions can use in order to mitigate risks among their loan takers. READ MORE