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 36 for “"Probability of default"”.
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Modelling examples of loss given default and probability of default
… enough capital proportional to the exposed risk of its lending practices. Under the advanced internal ratings based (IRB) approach, Basel II allows banks to develop their own empirical models based on historical data for probability of default (PD), loss given default (LGD) and exposure at …
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The Effect of Covid-19 on the Probability of Default of South African Firms Listed on the Johannesburg Stock Exchange (JSE)
The aim of this study is to quantify and investigate the effect of the Covid-19 pandemic on non-financial South African firms listed on the Johannesburg Stock Exchange. The study implemented the Merton (1974) model on the 59 largest non-financial firms and calculated the probability of default for …
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Issues in Credit Risk Assessment in Agricultural Credit Markets
… 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 estimated models is …
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Modelling probabilities of corporate default
This dissertation follows, scrupulously, the probability of default model used by the National University of Singapore Risk Management Institute (NUS-RMI). Any deviations or omissions are noted with reasons related to the scope of this study on modelling probabilities of corporate default of South …
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Quantification of the default probability of the top 42 non-financial South African firms
The focus of this dissertation is to quantify the probability of firm default focusing on the top 42 non-financial firms listed on the Johannesburg Stock Exchange. This paper follows the same methodology as outlined in the Moody's KMV white papers in implementing the Merton (1974) model. The model …
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Essays on the US Public Equity and High Yield Bond Markets as a Source of Finance for Shipping Companies
… factors that may affect the pricing and the probability of default of high yield bonds offered by shipping companies; and factors that may influence the pricing and the probability of underpricing of shipping US initial public offerings (IPOs). The analysis is carried out through five …
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Market Sentiments and the Housing Markets
… In the first chapter, we develop a measure of housing sentiment for 24 cities in China by parsing through newspaper articles from 2006 to 2017.We find that the sentiment index has strong predictive power for future house prices even after controlling for past price changes and macroeconomic …
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Default risk of Icelandic consumer loans : implementation of a credit risk model
… access to useful data that has the possibility of improving the assessment of default risk. If assessment of default risk can be improved, the opportunity for offering a broader range of interest rates on these loans come available, resulting in a more accurate pricing of each loan based on the …
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Micro-level return and volatility drivers in Boston's single family home market
… markets. Investments in these areas however are often perceived by private sector capital as being high risk and low return. An understanding of the predictors of investment volatility and return is critical to investors and homeowners who wish to maximize investment returns and portfolio growth. …
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A Treatise of PD-LGD Correlation Modelling
The provision in Paragraph 468 of Basel II Framework Document for calculating loss given default (LGD) requires that parameters used in Pillar I of Basel II capital estimations must be reflective of economic downturn conditions so that relevant risks are accounted for. This provision is based on …
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Bank Capital Management
… this study empirically explores the determinants of regulatory bank capital bu®ers, and how they in°uence bank decisions. Focusing on bank capital management under the Basel I framework, this thesis serves to address some of the con- cerns that have been voiced regarding the implementation of the …
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Modelling portfolios of credit securities
The study of credit derivatives is one of the most popular and controversial issues that concerns the entire financial industry. Increases of defaults and bankruptcies during the recent credit crunch has stipulated a heated debate about the adequacy of the existing pricing and hedging methodologies …
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Loss distributions in consumer credit risk : macroeconomic models for expected and unexpected loss
… thesis focuses on modelling the distributions of loss in consumer credit arrangements, both at an individual level and at a portfolio level, and how these might be influenced by loan-specific factors and economic factors. The thesis primarily aims to examine how these factors can be …
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Pricing and hedging credit-risky derivatives using corporate bonds
The benefits of being a bondholder are well appreciated and documented in the world of investments. However, most of these holdings are in the risk free (no chances of defaulting) government bonds (Treasuries). It follows then that by investing in the riskier bonds (corporate bonds); the investor …
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Three essays on contracting and corporate financing
… Are Venture Capitalists Rewarded? The Economics of Venture Capital Partnerships We propose a simple model showing how investors, venture capitalists (VCs), and entrepreneurs form venture capital funds (VCFs). Investors' demand for VC services depends on their beliefs about the accuracy of VC …
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Determining capital adequacy for a community bank's agricultural loan portfolio
… financial crisis brought to light, the ability of commercial banks to quantify and better manage risk in their loan portfolios is paramount to their continued success and viability. Assessing, managing, and retaining capital is now a larger issue than ever given this event as well as the advent …
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Sovereign Debt and Tax Collection Dynamics in Argentina
… from a U.S. capital tax cut pays for roughly 60% of the initial static loss, whereas the corresponding effect in Argentina is 80%. On the monetary side, multiple regimes are then considered with money in the utility function to determine optimal scenarios, holding tax revenues constant. Chapter 3 …
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A credit risk management model for a portfolio of low-income consumer loans in Mexico
… in recent years. This has attracted the interest of a large number of financial players eager to capture a portion in this still under-banked segment. Despite this huge market potential, credit risk management in this segment is still mainly based on the subjective expertise of credit managers, …
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