Essays about: "workout LGD"

Found 3 essays containing the words workout LGD.

  1. 1. Estimating Loss-Given-Default through Survival Analysis : A quantitative study of Nordea's default portfolio consisting of corporate customers

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

    Author : Richard Hallström; [2016]
    Keywords : Survival analysis; Cox proportional hazards model; Loss-Given-Default; workout LGD; Recovery data;

    Abstract : In Sweden, all banks must report their regulatory capital in their reports to the market and their models for calculating this capital must be approved by the financial authority, Finansinspektionen. The regulatory capital is the capital that a bank has to hold as a security for credit risk and this capital should serve as a buffer if they would loose unexpected amounts of money in their lending business. READ MORE

  3. 2. Estimation of Loss Given Default for Low Default Portfolios

    University essay from KTH/Matematisk statistik

    Author : Fredrik Dahlin; Samuel Storkitt; [2014]
    Keywords : ;

    Abstract : The Basel framework allows banks to assess their credit risk by using their own estimates of Loss Given Default (LGD). However, for a Low Default Portfolio (LDP), estimating LGD is difficult due to shortage of default data. READ MORE

  4. 3. A qualitative and quantitative analysis of the risk parameter LGD based on the Basel II Framework

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Helen Dybing; [2007]
    Keywords : risk; Basel II; LGD; LTV; Estimation model; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : Title: A qualitative and quantitative analysis of the risk parameter LGD based on the Basel II Framework Seminar date: 27 January 2007 Course: Financial Economy, Master Thesis, 10 poäng (15 ECTS) Author: Helén Dybing Advisor: Hans Byström Key words: LGD, LTV, Risk, Basel II, Estimation model Purpose: The purpose of this thesis is to get a deeper understanding of the risk parameter LGD and try to identify which variables drive it and how. Further the purpose of analysing the LGD/LTV relationship is to see how the risk parameter interacts with other parameters that are included in risk management. READ MORE