Sökning: "credit risk"

Visar resultat 11 - 15 av 75 avhandlingar innehållade orden credit risk.

  1. 11. Credit risk and forward price models

    Författare :Raquel M Gaspar; Handelshögskolan i Stockholm; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : This thesis consists of three distinct parts. Part I introduces the basic concepts and the notion of general quadratic term structures (GQTS) essential in some of the following chapters. Part II focuses on credit risk models and Part III studies forward price term structure models using both the classical and the geometrical approach. LÄS MER

  3. 12. Feasible computation of generalized linear mixed models with application to credit risk modelling

    Författare :Md. Moudud Alam; Göran Boström; Örebro universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Credit risk; cluster correlation; GLMM; large data; two-step pseudo likelihood estimation; defaults contagion; predictive likelihood; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; Statistics; Statistik; Statistics; Statistik; Complex Systems – Microdata Analysis;

    Sammanfattning : This thesis deals with developing and testing feasible computational procedures to facilitate the estimation of and carry out the prediction with the generalized linear mixed model (GLMM) with a scope of applying them to large data sets. The work of this thesis is motivated from an issue arising incredit risk modelling. LÄS MER

  4. 13. Pricing Portfolio Credit Derivatives

    Författare :Alexander Herbertsson; Göteborgs universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Portfolio credit risk; intensity-based models; dynamic dependence modelling; default contagion; CDS; synthetic CDO tranches; index CDS; k-th-to-default swaps; CDS-correlation; default-correlation; Markov jump processes; multivariate phase-type distributions; matrix-analytic methods;

    Sammanfattning : This thesis consists of four papers on dynamic dependence modelling in portfolio credit risk. The emphasis is on valuation of portfolio credit derivatives. The underlying model in all papers is the same, but is split in two different sub-models, one for inhomogeneous portfolios, and one for homogeneous ones. LÄS MER

  5. 14. Essays on Financial Risks and Derivatives with Applications to Electricity Markets and Credit Markets

    Författare :Rikard Green; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Markov Chain Monte Carlo; Jump Diffusion Process; Stochastic Volatility; VaR; Electricity Markets; Market Risk; Forward Curve; Credit Risk; Currency Effects;

    Sammanfattning : Contracts traded on international financial and commodity markets are associated with complex risk structures. In this dissertation we are concerned with two specific types of risks; market risks and credit risks. The first chapter investigates market risks in the context of the Nordic electricity market. LÄS MER

  7. 15. Essays on Sovereign Credit Risk and Credit Default Swap Spreads

    Författare :Patrick Augustin; Handelshögskolan i Stockholm; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : This doctoral thesis consists of 4 self-contained chapters: Sovereign Credit Default Swap Premia. This comprehensive review of the literature on sovereign CDS spreads highlights current academic debates and contrasts them with contradictory statements from the popular press.  Real Economic Shocks and Sovereign Credit Risk. LÄS MER