Essays about: "creditrisk"

Found 4 essays containing the word creditrisk.

1. 1. Risk Modelling in Payment Guarantees

   University essay from KTH/Matematisk statistik

   Author : Gutstav Kratz; [2018]
   Keywords : ;

   Abstract : The Swedish Export Credit Agency (EKN) issues payment guarantees to Swedish companies who face the risk of non-payments in export transactions. Commitments are typically correlated, as defaults of companies are driven by other factors than factors specific to that company, such as the economic cycle or the regional conditions. READ MORE

3. 2. Readjusting Historical Credit Ratings : using Ordered Logistic Regression and Principal ComponentAnalysis

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

   Author : Axel Cronstedt; Rebecca Andersson; [2018]
   Keywords : Ordered Logistic Regression; Principal Component Analysis; MacroEconomic Variables; Credit Risk; Credit Ratings; Multivariate Time SeriesData; Ordinal logistisk regression; Principalkomponentanalys; Makro-ekonomiska variabler; Kreditratings; Multivariata tidsserier;

   Abstract : Readjusting Historical Credit Ratings using Ordered Logistic Re-gression and Principal Component Analysis The introduction of the Basel II Accord as a regulatory document for creditrisk presented new concepts of credit risk management and credit risk mea-surements, such as enabling international banks to use internal estimates ofprobability of default (PD), exposure at default (EAD) and loss given default(LGD). These three measurements is the foundation of the regulatory capitalcalculations and are all in turn based on the bank’s internal credit ratings. READ MORE

4. 3. Counterparty Credit Risk on the Blockchain

   University essay from KTH/Matematisk statistik

   Author : Isak Starlander; [2017]
   Keywords : Counterparty Credit Risk; Expected Loss; Blockchain; Smart Contracts; Motpartsrisk; Förväntad Förlust; Blockkedjan; Smarta Kontrakt;

   Abstract : Counterparty credit risk is present in trades offinancial obligations. This master thesis investigates the up and comingtechnology blockchain and how it could be used to mitigate counterparty creditrisk. The study intends to cover essentials of the mathematical model expectedloss, along with an introduction to the blockchain technology. READ MORE

5. 4. Name Concentration Risk and Pillar 2 Compliance : The Granularity Adjustment

   University essay from KTH/Matematisk statistik

   Author : Björn Torell; [2013]
   Keywords : Credit Risk; Basel II; IRB formula; Concentration risk; Name concentration; ;

   Abstract : A credit portfolio where each obligor contributes infinitesimally to the risk is said to be infinitely granular. The risk related to the fact that no real credit portfolio is infinitely granular, is called name concentration risk. READ MORE