Essays about: "credit portfolio"
Showing result 21 - 25 of 86 essays containing the words credit portfolio.
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21. Backtesting of simulated method for Counterparty Credit Risk
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : After the financial crisis of 2008 regulators found that the derivative market, where financial institutions traded OTC derivatives with each other, played a significantrole in triggering the crisis. This led to the emergence of Counterparty Credit Risk(CCR) which is used to measure the exposure banks have to their counterparties. READ MORE
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22. A Financial Market Segmented New-Keynesian Macro Model
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This essay complements the monetary literature by estimation and simulation of a New-Keynesian macro model featuring financial market frictions and long bond portfolio policy. The model is an extended version of the canonical three-equation New-Keynesian model with segmented financial markets distinguishing the short-term money market from the long-term bond market. READ MORE
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23. Statistical Methods for Analysis of the Homeowner's Impact on Property Valuation and Its Relation to the Mortgage Portfolio
University essay from KTH/Matematisk statistikAbstract : The current method for house valuations in mortgage portfolio models corresponds to applying a residential property price index (RPPI) to the purchasing price (or last known valuation). This thesis introduces an alternative house valuation method, which combines the current one with the bank's customer data. READ MORE
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24. Duration-Weighted Carbon Footprint Metrics and Carbon Risk Factor for Credit Portfolios
University essay from KTH/Matematisk statistikAbstract : Current standard carbon footprint metrics attribute responsibility for a firm’s green house gas (GHG) emitting activities equally between an entity’s equity and debt. This study introduces a set of novel duration-weighted metrics which take into consideration the length of financing provided. READ MORE
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25. Does Quality Matter?
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : The purpose of this study is to investigate if there is any size effect in the Swedish stock market between April 2010 and December 2019, and if controlling for firms' quality improves the performance of a size-based investment strategy. The risk premium of firms with smaller market value of equity has since its discovery been under heavy scrutiny. READ MORE