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 6 of 6 for “"credit default risk"”.
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Machine Learning for Credit Default Risk
… can be used to enhance traditional approaches to credit default forecasting and pricing. In the first essay, we provide empirical evidence in favour of a widespread non-linear, time-varying relationship between sovereign credit risk and macroeconomic fundamentals across OECD countries. Random …
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Credit Default Risk and Market Risk Premium of Chinese Corporate Bonds
This thesis presents a comprehensive analysis of credit risk in China's corporate bond market. Utilising data on all Chinese corporate bonds issued by publicly traded companies before September 2020 and actual default cases, the research investigates credit risk from the perspectives of forecasting …
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Developing a new CMBS hedging tool : a property price index-based synthetic
By isolating credit as a distinct asset class, credit derivatives provide new vehicles for synthetically trading and transferring credit exposure of commercial real estate without buying or selling the physical assets. Recent developments of CMBS index-based synthetics, namely the CMBX, have …
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Credit scoring models for Egyptian banks : neural nets and genetic programming versus conventional techniques
Credit scoring has been regarded as a core appraisal tool of banks during the last few decades, and has been widely investigated in the area of finance, in general, and banking sectors, in particular. In this thesis, the main aims and objectives are: to identify the currently used techniques in the …
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Empirical Analysis of Time-Varying Cross-Border Correlation and Spillover Risk.
… cross-border correlation and spillover risk. Existing literature has devoted significant resources to quantify these two types of risk within a variety of markets and asset classes. The implications of these studies have great importance in policy making, securities trading and in …
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Understanding factors for investment into South African diaspora bonds: an extended theory of planned behaviour
… largely shaped by conditionalities pertaining to risk and benefit realisation. Further economic, institutional and regulatory reform is needed to attract investors towards South African diaspora bonds. The main attitudinal motives are underpinned by (i) patriotism with varying conditionalities, …