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Showing result 1 - 5 of 8 essays matching the above criteria.

  1. 1. Probability of Default and Credit Spreads in Banks: Examining a Modified Merton Model for Assessing Bank Risk

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Linus Sigurdson; Fritiof Carling; [2020]
    Keywords : Banks; RNPD; Merton model; Credit spreads; Risk;

    Abstract : We examine the modified Merton model, as proposed by Nagel and Purnanandam (2019), and its ability to explain bank credit risk by comparing it to the standard Merton model. Previous structural models of default risk build on the assumption that assets follow a log-normal distribution, which is not applicable to banks. READ MORE

  3. 2. Pricing Interest Rate Derivatives in a Negative Yield Environment

    University essay from Göteborgs universitet/Graduate School

    Author : Lavinia Rognone; [2017-07-26]
    Keywords : Interest rate derivatives; negative strikes; negative yield; normal model; Bachelier model; shifted Black model; shifted SABR model;

    Abstract : The main purpose of this thesis is to price interest rate derivatives in the today negative yield environment. The plain vanilla interest rate derivatives have now negative strikes and negative values of the underlying asset, the forward rate. READ MORE

  4. 3. Risk contribution and its application in asset and risk management for life insurance

    University essay from KTH/Matematisk statistik

    Author : Jesper Sundin; [2016]
    Keywords : Risk contribution; capital allocation; Value-at-Risk; elliptical distri-bution; multivariate log-normal distribution; kernel estimation;

    Abstract : In risk management one important aspect is the allocation of total portfolio risk into its components. This can be done by measuring each components' risk contribution relative to the total risk, taking into account the covariance between components. READ MORE

  5. 4. Modelling Low Dimensional Neural Activity

    University essay from KTH/Beräkningsvetenskap och beräkningsteknik (CST); KTH/Beräkningsbiologi, CB

    Author : Emil Wärnberg; [2016]
    Keywords : neural networks; low dimensional; neural; activity; neural engineering framework; NEF; nef; artificial neural network; ann; dimensionality; log-normal; log; normal; distribution; synaptic; geometric; connectivity;

    Abstract : A number of recent studies have shown that the dimensionality of the neural activity in the cortex is low. However, what network structures are capable of producing such activity is not theoretically well understood. READ MORE

  6. 5. Unsupervised Change Detection Using Multi-Temporal SAR Data : A Case Study of Arctic Sea Ice

    University essay from KTH/Geodesi och geoinformatik

    Author : Linda Fröjse; [2014]
    Keywords : sea ice; the Arctic; Kittler-Illingworth; generalized Gaussian distribution; log-normal distribution; ERS; ENVISAT; SAR; ASAR; havsis; Arktis; Kittler-Illingworth; generaliserad normaldistribution; lognormal distribtion; ERS; ENVISAT; SAR; ASAR;

    Abstract : The extent of Arctic sea ice has decreased over the years and the importance of sea ice monitoring is expected to increase. Remote sensing change detection compares images acquired over the same geographic area at different times in order to identify changes that might have occurred in the area of interest. READ MORE