Essays about: "thesis on credit using regression"

Showing result 21 - 25 of 31 essays containing the words thesis on credit using regression.

  1. 21. Structural Modelling of Credit Spreads on the European Bond Market: An Empirical Study

    University essay from Lunds universitet/Matematisk statistik

    Author : Marcus Zethraeus; Magnus Roos; [2017]
    Keywords : Structural models; Merton model; Black Cox model; European corporate bond spreads; Mathematics and Statistics;

    Abstract : This thesis empirically tests the explanatory power of structural models on the European corporate bond market. Using new evaluation methods, including LASSO and gradient boosting regression, we can provide an in-depth assessment of the models’ shortcomings. READ MORE

  3. 22. Credit Risk Model for loans to SMEs in Sweden : Calculating Probability of Default for SMEs in Sweden based on historical data, to estimate a financial institution’s risk exposure

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

    Author : Khalil Mustafa; Victor Persson; [2017]
    Keywords : Credit risk; probability of default; logistic regression;

    Abstract : As a consequence from the last financial crisis that began 2007 in USA, regulatory frameworks are continuously improved in order to limit the banks’ risk exposure. Two of the amendments are Basel III and IFRS 9. READ MORE

  4. 23. Credit Risk Management in Absence of Financial and Market Data

    University essay from KTH/Matematisk statistik

    Author : Sepehr Yousefi; [2016]
    Keywords : ;

    Abstract : Credit risk management is a significant fragment in financial institutions' security precautions against the downside of their investments. A major quandary within the subject of credit risk is the modeling of simultaneous defaults. READ MORE

  5. 24. Valuing Credit Default Swaps with a Structural Approach

    University essay from Lunds universitet/Matematisk statistik

    Author : Per Möller; [2015]
    Keywords : Mathematics and Statistics;

    Abstract : Valuing single-name Credit Default Swaps (CDS) is a dicult task since in order to make a fair valuation, one needs to assess the credit risk of the corresponding company. Many dierent models exist when it comes to modelling the credit risk, this report specically focuses on the branch of models named structural models. READ MORE

  6. 25. Two-Stage Logistic Regression Models for Improved Credit Scoring

    University essay from KTH/Skolan för datavetenskap och kommunikation (CSC)

    Author : Anton Lund; [2015]
    Keywords : Machine Learning; Credit Scoring; Two-stage Logistic Regressions;

    Abstract : This thesis has investigated two-stage regularized logistic regressions applied on the credit scoring problem. Credit scoring refers to the practice of estimating the probability that a customer will default if given credit. READ MORE