Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 204 for “"Credit risk"”.
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Pricing of credit risk and credit risk derivatives : from theory to implementation
Includes abstract. Includes bibliographical references (leaves 223-230).
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Leverage Adjustment and Credit Risk
… adjustment and effect of speed of adjustment on credit risk.</p> <p><strong>Ⅰ:</strong> We standardize leverage ratio by underlying business risk. The methodology of standardization follows the assumption that asset value follows a geometric Brownian motion. We find that by standardizing book …
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Credit risk measurement and modelling
… key economic and company specific components of credit spreads in the investment and non-investment grade US bond market for different maturing bond indices. It calls for the full integration of different market andfirm specific variables into a unique framework, in order to predict credit spread …
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Credit Risk Evaluation : Modeling - Analysis - Management
… development of the building blocks of modern credit risk management: -Definitions of default -Estimation of default probabilities -Exposures -Recovery Rates -Pricing -Concepts of portfolio dependence -Time horizons for risk calculations -Quantification of portfolio risk -Estimation of risk …
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Transmission of credit risk in Asia
… significant spillover effects between the credit default swap (CDS) spreads of sovereigns and banks have been evidenced in the US and several European countries. Even though systemic risk seems more likely to be associated with banks, the role of non-financial firms in linking sovereigns …
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Essays on credit risk of syndicated loans
The student, Jianglin Ding, submitted this Dissertation for approval on 2016-07-08 at 12:16.
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Quantitative Models for Prudential Credit Risk Management
… framework for achieving unification in consumer credit risk analysis. We explore how the EMV model can be used in origination modelling, impairment analysis, capital analysis, stress-testing and in the assessment of economic value. The thesis is segmented into five themes. The first theme …
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The Credit Risk in Stock-Based Loans
… loans, the lenders are subject to the risk that the collateral is worth less than the loan, and the borrower defaults. This dissertation will consider the credit risk faced by lenders when issuing these loans. To achieve this, this dissertation will propose different models to quantify …
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Quantitative models for prudential credit risk management
… framework for achieving unification in consumer credit risk analysis. We explore how the EMV model can be used in origination modelling, impairment analysis, capital analysis, stress-testing and in the assessment of economic value. The thesis is segmented into five themes. The first theme …
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Credit risk-rating system for agricultural leases
… factors statistically significant in predicting risk level (probability of default and/or probability of late payment) of the lessee for each industry. From a previous study of Telmark, 1990, literature review and the Recommendations of the Farm Financial Standards Task Force financial, …
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Lévy processes in credit risk and market models
Mathematical credit risk models in the literature are mainly models based on Brownian motion although it is known that real-life financial data provides a different statistical behavior than that implied by these models. Lévy processes are an appropriate tool to increase accuracy of models in …
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Credit Risk Pricing based on Epstein-Zin Preference
… a consumption-based equilibrium framework for credit risk pricing in an Epstein-Zin setting. The default time is modeled as the first hitting time of a default boundary. Bond investors have imperfect information about the firm value which is unobservable. The state variables, consumption and …
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Credit Risk Pricing via Epstein-Zin Pricing Kernel
… Epstein-Zin setting. As in structural models of credit risk, the default time is modeled as the first hitting time of a default boundary by the unobservable process; the firm's asset value. The observable state variables; log consumption and volatility are affine processes which drive the …
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Measuring and managing credit risk in derivative structures
… dissertation originates from the fact that the risk of default between counterparties are increasing, and becoming more complex and interrelated. Due to global changes like globalisation, deregulation, increasingly competitive markets, process improvements, changing customer bases, changing …
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Applications of machine learning : consumer credit risk analysis
Current credit bureau analytics, such as credit scores, are based on slowly varying consumer characteristics, and thus, they are not adaptable to changes in customers behaviors and market conditions over time. In this paper, we would like to apply machine-learning techniques to construct …
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Credit risk models for mortgage loan loss given default
Arguably, the credit risk models reported in the literature for the retail lending<br/>sector have so far been less developed than those for the corporate sector,<br/>mainly due to the lack of publicly available data. Having been given access to a<br/>dataset on defaulted mortgages kindly provided …
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Issues in Credit Risk Assessment in Agricultural Credit Markets
… based on different criteria to determine the creditworthiness of borrowers. Predictability of the estimated model for default is compared with the actual data. Classification accuracy is utilized with the discrete models, while RMSE is used with the continuous models. The importance of the …
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Empirical Analysis of Farm Credit Risk Under the Structure Model
… provides a solution to the two major issues in risk assessment for agricultural lending, i.e. lack of long-time loss data and limited information of macroeconomic factors on changes of farm assets.
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Consumer credit risk measurement : challenges for the Paraguayan banking system
Credit risk is often a critical risk in the financial sector. Therefore, how a financial institution manages its credit risk is an important determinant of profitability and solvency. In this regard, the identification and measurement of credit risk is the first component of efficient risk …
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