Essays about: "nancial institutions"

Showing result 1 - 5 of 10 essays containing the words nancial institutions.

1. 1. Optimal financial resources for Central Counterparties: Introducing default dependence of clearing members: a mixed binomial approach

   University essay from Göteborgs universitet/Graduate School

   Author : Leonardo Di Geronimo; [2019-07-02]
   Keywords : Central Counterparties; Risk Management; Merton Model; Mixed Binomial Model; Merton Mixed Binomial Model; Initial Margin; Default Fund;

   Abstract : Central counterparties (CCPs) are ˝nancial intermediaries consisting of clearing members trading ˝nancial derivatives between each other. In a ˝nancial network, CCPs become the buyer to every seller and the seller to every buyer. READ MORE

3. 2. Estimation of Probability of Default in Low Default Portfolios

   University essay from Lunds universitet/Matematisk statistik

   Author : Linnéa Gerhardsson; Nina Castor; [2017]
   Keywords : Probability of default; PD; Low default portfolio; LDP; BCR; Bayesian; Vasicek; Monte Carlo; subportfolios; grade level estimates.; Mathematics and Statistics;

   Abstract : Estimation of probability of default (PD) is a fundamental part of credit risk modeling, and estimation of PD in low default portfolios is a common issue for banks and financial institutions. The Basel Committee on Banking Supervision requires banks and financial institutions to add an additional margin of conservatism to its PD estimates in the case of insufficient data, as in low default portfolios with few default observations. READ MORE

4. 3. Central Counterparties. A Numerical Implementation of the Default Waterfall

   University essay from Göteborgs universitet/Graduate School

   Author : Karl Ejvegård; Christian Romaniello; [2016-09-21]
   Keywords : Risk Management; Central Counterparty; Risk; Stochastic Models; Monte Carlo Simulation; Mixed Binomial Models; Interest Rate Swap;

   Abstract : This thesis studies so called Central Counterparties (CCP), nancial institutions which consist of clearing members, such as large banks. CCPs have the role of centralizing, mutualizing and reducing counterparty risk, by acting as an intermediate in nancial transactions. READ MORE

5. 4. Information Asymmetry and Discretionary Accounting in European Banks

   University essay from Göteborgs universitet/Graduate School

   Author : Simon Eliasson; [2016-09-15]
   Keywords : Information asymmetry; discretionary accounting; earnings management; capital markets; nancial institutions;

   Abstract : Recent theoretical research suggests that information risk is a non-diversifiable risk factor and should therefore affect the cost of capital of the individual firm. This study investigates this notion for listed European banks during the period 2005-2015. READ MORE

6. 5. Absolute & Relative Credit Quality Assessment

   University essay from Lunds universitet/Matematisk statistik

   Author : Mattias Karlsson; Svante Dieden Sandell; [2016]
   Keywords : Credit Quality Assessment; Default Bankruptcy Prediction; Altman Z-score; Ohlson O-score; Logistic Regression; Rare-Event Bias Correction.; Mathematics and Statistics;

   Abstract : The lack of availability and relevance of both credit ratings and traded market instruments, forces nancial institutions to nd alternative ways to validate the credit qualities of their counterparties. To address this issue, existing bankruptcy prediction models are evaluated and re-estimated. READ MORE