Searched for: subject%3A%22Credit%255C+Risk%22
(1 - 16 of 16)
document
Brands, Marnix (author)
The computation of multivariate expectations is a common task in various fields related to probability theory. This thesis aims to develop a generic and efficient solver for multivariate expectation problems, with a focus on its application in the field of quantitative finance, specifically for the quantification of Counterparty Credit Risk (CCR...
master thesis 2023
document
Heijnders, Tom (author)
The EAD metric is widely used in the calculations for the capital requirements concerning Counterparty Credit Risk (CCR). In this thesis we compare several methods for calculating this EAD. Basel III gives us two methods, the Standardized Approach for CCR (SA-CCR) and the Internal Model Method (IMM). Furthermore, we introduce an integrated...
master thesis 2023
document
Mast, Gijs (author)
To fulfil the need in the industry for fast and accurate PFE calculations in practice, a new, semi-analytical method of calculating the PFE metric for CCR has been developed, tested and analyzed in this thesis. Herewith we focus on the calculation of PFEs for liquid IR and FX portfolios involving up to three correlated risk-factors: a domestic...
master thesis 2022
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Cheng, D. (author)
This dissertation collects three scientific contributions, already published in international peer-reviewed journals, plus some extra considerations and work-in-progress. First, we present a model based on reinforced urn processes, which conjugates to the right-censored recovery process, and empirically apply it to the time series of recovery...
doctoral thesis 2022
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Nayak, Arvind (author)
Computing portfolio credit losses and associated risk sensitivities is crucial for the financial industry to help guard against unexpected events. Quantitative models play an instrumental role to this end. As a direct consequence of their probabilistic nature, portfolio losses are usually simulated using Monte Carlo copula models, which in turn...
master thesis 2021
document
Rood, N.M. (author)
In this study, two interest rate models are analysed in context of counterparty credit risk. The goal of the study is to find a model that performs well on historical simulation for the PFE and EPE. The two models analysed are the Dynamic Nelson-Siegel model and the Displaced Diffusion model.<br/>In the Dynamic Nelson-Siegel model, a Nelson...
master thesis 2020
document
van den Bergh, O.C. (author)
This thesis explores existing and proposes new methods for assessing concentration risk in default-only credit risk models. Within the existing methods, the analytic Granularity Adjustment is studied in the single factor Gaussian threshold and in the CreditRisk+ framework. These adjustments are tested on a sample portfolio in the presence of...
master thesis 2020
document
Michael, Gavriella (author)
When dealing with datasets where the observations are obtained from the same cross-sectional units at multiple time points, most of the times, heterogeneity arises across he cross-sectional units. If one ignores this heterogeneity, assuming that the data are pooled, the parameters estimations run the risk of being inconsistent. This thesis...
master thesis 2019
document
Zoutendijk, Joran (author)
This thesis is on the subject of modelling the probability of default in a low default portfolio. In these portfolios there is a high risk of underestimating the true probability of default. Two models are considered, a Gaussian one factor model and a Poisson model with Gamma mixture. Classical estimation methods as the maximum likelihood are...
master thesis 2018
document
Ivanov, Viktor (author)
Model selection is associated to model assessment, which is the problem of comparing different models, or model hyperparameters, for a particular learning task. It constitutes a fundamental step in building machine learning models. The central question is: How a model will work in the future? In this thesis, a new model selection scheme for...
master thesis 2017
document
Scholten, F.J.M. (author)
Toepassing importance sampling op credit risk probleem met onafhankelijke schuldenaren.
bachelor thesis 2015
document
Ooms, J.C. (author)
In this thesis we describe a general framework to determine counterparty credit risk. Interest rates as risk factor will in this framework be generated by a Monte Carlo simulation and described by means of a stochastic model. We describe three equilibrium models that can apply the interest rate simulation. The characteristics of these models on...
master thesis 2015
document
Meibergen, N.J. (author)
Credit risk pricing models assume recovery to be at its \textit{historical} average (historical recovery assumption). However, the effect of this assumption is not completely understood. The heard of this thesis lies in constructing a new pricing model for Credit Default Swaps (CDS), in particularly allowing for negative correlation between...
master thesis 2015
document
Shen, Y. (author)
This thesis works on the efficient quantification of counterparty credit risk.
doctoral thesis 2014
document
Shen, Y. (author), Van der Weide, J.A.M. (author), Anderluh, J.H.M. (author)
An advanced method, which we call Monte Carlo-COS method, is proposed for computing the counterparty credit exposure profile of Bermudan options under Lévy process. The different exposure profiles and exercise intensity under different mea- sures, P and Q, are discussed. Since the COS method [1] delivers accurate Bermudan prices, and no change...
journal article 2013
document
Huang, X. (author), Oosterlee, C.W. (author), van der Weide, J.A.M. (author)
This paper utilizes the saddlepoint approximation as an efficient tool to estimate the portfolio credit loss distribution in the Vasicek model. Value at Risk (VaR), the risk measure chosen in the Basel II Accord for the evaluation of capital requirement, can then be found by inverting the loss distribution. VaR Contribution (VaRC), Expected...
report 2006
Searched for: subject%3A%22Credit%255C+Risk%22
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