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Dissertations / Theses on the topic 'Financial risk management'

Author: Grafiati

Published: 4 June 2021

Last updated: 25 July 2025

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1

Laurent, Marie-Paule. "Essays in financial risk management." Doctoral thesis, Universite Libre de Bruxelles, 2003. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/211221.

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2

Zhang, Lequn. "Extreme Risk Forecast for Quantitative Financial Risk Management." Thesis, Curtin University, 2022. http://hdl.handle.net/20.500.11937/89362.

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Value at Risk (VaR) is one of the key risk measures for quantitative financial risk management. VaR measures extreme risk, which has a small probability but a significant consequence to financial institutions. This thesis develops methods based on an extended extreme value approach to improve the forecast skill of VaR. The proposed methods improve the forecasting accuracy, robustness, efficiency and outperform the existing methods in the literature.

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3

Gueye, Djibril. "Some contributions to financial risk management." Thesis, Strasbourg, 2021. http://www.theses.fr/2021STRAD027.

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Cette thèse traite différentes questions liées à la gestion quantitative des risques financiers. Nous nous intéressons, dans une première partie, aux modèles de temps de défaut en risque de crédit dans le cadre de la théorie de grossissement de filtrations. Nous proposons des modèles où le temps de défaut peut coïncider avec des instants de chocs économiques. D’abords, nous étendons le modèle de Jiao et Li (2018) dans le cas où les chocs ne sont pas prévisibles en étudiant les caractéristiques du temps de défaut. Nous présentons ensuite le modèle de Cox généralisé qui est une extention de celu

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4

Wang, Mulong. "Financial derivatives in corporate risk management." Access restricted to users with UT Austin EID, 2001. http://wwwlib.umi.com/cr/utexas/fullcit?p3036610.

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5

Schaumburg, Julia. "Quantile methods for financial risk management." Doctoral thesis, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2013. http://dx.doi.org/10.18452/16675.

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In dieser Dissertation werden neue Methoden zur Erfassung zweier Risikoarten entwickelt. Markrisiko ist definiert als das Risiko, auf Grund von Wertrückgängen in Wertpapierportfolios Geld zu verlieren. Systemisches Risiko bezieht sich auf das Risiko des Zusammenbruchs eines Finanzsystems, das durch die Notlage eines einzelnen Finanzinstituts entsteht. Im Zuge der Finanzkrise 2007–2009 realisierten sich beide Risiken, was weltweit zu hohen Verlusten für Investoren, Unternehmen und Steuerzahler führte. Vor diesem Hintergrund besteht sowohl bei Finanzinstituten als auch bei Regulierungsbeh

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6

Genin, Adrien. "Asymptotic approaches in financial risk management." Thesis, Sorbonne Paris Cité, 2018. http://www.theses.fr/2018USPCC120/document.

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Cette thèse se propose de traiter de trois problèmes de gestion des risques financiers en utilisant différentes approches asymptotiques. La première partie présente un algorithme Monte Carlo d’échantillonnage d’importance pour la valorisation d’options asiatiques dans des modèles exponentiels de Lévy. La mesure optimale d’échantillonnage d’importance est obtenue grâce à la théorie des grandes déviations. La seconde partie présente l’étude du comportement asymptotique de la somme de n variables aléatoires positives et dépendantes dont la distribution est un mélange log-normal ainsi que des appl

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7

Nikoci, Besjana <1989&gt. "Stress Testing for Financial Risk Management." Master's Degree Thesis, Università Ca' Foscari Venezia, 2015. http://hdl.handle.net/10579/6935.

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The complexity and duration of the financial crisis has led many banks and authorities to question the adequacy of stress testing practices prior to the crisis and their efficiency to cope with rapidly changing circumstances. Stress testing is a process to identify and manage situations that could cause extraordinary losses and it is an important risk management tool that is used by banks as part of their internal risk management. Majority of models make assumptions that do not hold in abnormal markets. Therefore, stress tests are vital for a comprehensive picture of risk. In this thesis we

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8

Aas, Roar. "Risk management using derivatives." Thesis, Heriot-Watt University, 1993. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.262000.

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9

Eriksson, Kristofer. "Risk Measures and Dependence Modeling in Financial Risk Management." Thesis, Umeå universitet, Institutionen för fysik, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-85185.

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In financial risk management it is essential to be able to model dependence in markets and portfolios in an accurate and efficient way. A high positive dependence between assets in a portfolio can be devastating, especially in times of crises, since losses will most likely occur at the same time in all assets for such a portfolio. The dependence is therefore directly linked to the risk of the portfolio. The risk can be estimated by several different risk measures, for example Value-at-Risk and Expected shortfall. This paper studies some different ways to measure risk and model dependence, both

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10

Černák, Peter. "Risk Management." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-76579.

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The Master's Thesis deals with the topic of risk management in a non-financial company. The goal of this Thesis is to create a framework for review of risk management process and to practically apply it in a case study. Objectives of the theoretical parts are: stating the reasons for risk management in non-financial companies, addressing the main parts of risk management and providing guidance for review of risk management process. A special attention is paid to financial risks. The practical part applies the framework created in the theoretical part on a case study -- review/gap analysis of r

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11

Paltalidis, Nikolaos. "Essays on applied financial econometrics and financial networks : reflections on systemic risk, financial stability & tail risk management." Thesis, University of Portsmouth, 2015. https://researchportal.port.ac.uk/portal/en/theses/essays-on-applied-financial-econometrics-and-financial-networks(3534970d-eeba-4748-9812-d18430925664).html.

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The global crisis of 2008 challenged the functioning of the financial markets. In the aftershock era numerous repercussions were felt throughout the world, resulting from a plethora of cross-border and cross-entity interdependencies. An initially systemic banking crunch – where cash strapped banks stopped lending, liquidity abruptly dried up, and credit conditions deteriorated – metastasized into a sovereign debt crisis in the euro area which devastated public finances and provoked higher sovereign default risk. Motivated by the intensity, the magnitude and the speed with which shocks propagat

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12

Zou, Lin. "Essays in financial economics and risk management." Thesis, [College Station, Tex. : Texas A&M University, 2007. http://hdl.handle.net/1969.1/ETD-TAMU-1476.

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13

Graf, Mario. "Financial Risk Management State-of-the-Art /." St. Gallen, 2005. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01665710001/$FILE/01665710001.pdf.

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14

Ewers, Robin B. "Enterprise Risk Management in Responsible Financial Reporting." Thesis, Walden University, 2017. http://pqdtopen.proquest.com/#viewpdf?dispub=10637579.

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<p> Despite regulatory guidelines, unreliable financial reporting exists in organizations, creating undue financial risk-harm for their stakeholders. Normal accident theory (NAT) identifies factors in highly complex integrated systems that can have unexpected, undetected, and uncorrected system failures. High-reliability organization (HRO) theory constructs promote reliability in complex, integrated systems prone to NAT factors. Enterprise risk management (ERM) integrates NAT factors and HRO constructs under a holistic framework to achieve organizational goals and mitigate the potential for st

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15

Siyi, Zhou. "Essays on financial and insurance risk management." Thesis, Imperial College London, 2012. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.586894.

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This thesis conducts several empirical analyses of important issues in modern quantitative risk management The first exercise examines the joint distribution of changes in agency credit ratings. We estimate both intra- and inter-industry correlations using Maximum Likelihood techniques. The analysis is performed unconditionally and then conditional on de-trended GDP. The latter estimates may be used for macro stress testing in which the credit quality of a portfolio is simulated conditional on a hypothesized future path of real output. Following the financial crisis, banks and regulators are i

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16

Abbas, Sawsan. "Statistical methodologies for financial market risk management." Thesis, Lancaster University, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.547964.

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17

Ben, Hadj Saifeddine. "Essays on risk management and financial stability." Thesis, Paris 1, 2017. http://www.theses.fr/2017PA01E003/document.

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La thèse analyse la question de la stabilité du système financier international dans son ensemble et plus précisément comment améliorer sa résilience. Chaque chapitre se focalise sur un type d'acteur dans ce système complexe, à savoir les banques, les organismes de supervision et les régulateurs internationaux. Le premier chapitre introduit de nouvelles techniques d'optimisation pour accélérer le calcul de mesure de risque dans les banques et les institutions financières. Il propose également une étude théorique pour valider les algorithmes d'optimisation proposés. Le second vise à quantifier

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18

Pillay, Levina. "Risk practitioner experiences of enterprise risk management in financial institutions." Diss., University of Pretoria, 2015. http://hdl.handle.net/2263/52296.

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The ability of financial institutions to strengthen enterprise risk management following the global financial crisis has been challenging. The uncertainties of the external environmental within which these organisations operate and the complexity and speed of internal operations required to respond have continued to evolve. As a result, focus on the discipline of enterprise risk management has emerged, within academia and industry, to determine the broader risk implications to which financial institutions are exposed. A qualitative study was undertaken with 16 risk practitioners engaged in da

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19

Shedden, Jason Patrick. "A qualitative approach to financial risk." Pretoria : [s.n.], 2006. http://upetd.up.ac.za/thesis/available/etd-05092007-152751.

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20

Yao, Rui. "Patterns of financial risk tolerance 1983-2001 /." Columbus, Ohio : Ohio State University, 2003. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1060624755.

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Thesis (Ph. D.)--Ohio State University, 2003.<br>Title from first page of PDF file. Document formatted into pages; contains xvi, 239 p.; also includes graphics (some col). Includes abstract and vita. Advisor: Sherman D. Hanna, College of Human Ecology. Includes bibliographical references (p. 230-239).

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21

Yang, Xi. "Applying stochastic programming models in financial risk management." Thesis, University of Edinburgh, 2010. http://hdl.handle.net/1842/4068.

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This research studies two modelling techniques that help seek optimal strategies in financial risk management. Both are based on the stochastic programming methodology. The first technique is concerned with market risk management in portfolio selection problems; the second technique contributes to operational risk management by optimally allocating workforce from a managerial perspective. The first model involves multiperiod decisions (portfolio rebalancing) for an asset and liability management problem and deals with the usual uncertainty of investment returns and future liabilities. Therefor

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22

MORAES, ALEX SANDRO MONTEIRO DE. "ESSAYS IN FINANCIAL RISK MANAGEMENT OF EMERGING COUNTRIES." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2015. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=26131@1.

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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO<br>COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR<br>PROGRAMA DE SUPORTE À PÓS-GRADUAÇÃO DE INSTS. DE ENSINO<br>Nesta tese são desenvolvidos três ensaios que avaliam os riscos relativos a alguns países emergentes. No primeiro ensaio, por meio do uso de modelos da família GARCH, verificou-se que o aumento dos pesos relativos atribuídos às observações mais antigas em função do aumento do horizonte de previsão resulta em melhores estimativas de volatilidade. Por meio da utilização de sete modelos de previsão de volatilidade e séries

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23

Haar, Lawrence. "Business cycles and the management of financial risk." Thesis, University of Surrey, 2000. http://epubs.surrey.ac.uk/844543/.

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The author explicitly specifies a New Keynesian style model embodying a financial constraint on the availability of equity and a financial market imperfection with regard to the existence of state-contingent assets based upon the published papers of Greenwald and Stiglitz (1988, 1990, and 1993). Using computer based numerical simulation, the author validates the three unproven Propositions found in the Greenwald and Stiglitz 1993 article with regard to the model's comparative static behaviour. Through the inclusion of a parameter for technology into the production function, the author shows th

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24

Zabarankin, Michael Yurievich. "Optimization approaches in risk management and financial engineering." [Gainesville, Fla.] : University of Florida, 2003. http://purl.fcla.edu/fcla/etd/UFE0001048.

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25

Hays, Douglas C. "Enterprise risk management solutions a case study /." Monterey, Calif. : Naval Postgraduate School, 2008. http://handle.dtic.mil/100.2/ADA483512.

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"Submitted in partial fulfillment of the requirements for the degree of Master of Business Administration from the Naval Postgraduate School, June 2008."<br>Advisor(s): San Miguel, Joseph ; Summers, Don. "June 2008." "MBA professional report"--Cover. Description based on title screen as viewed on August 8, 2008. Includes bibliographical references (p. 41). Also available in print.

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26

Derrocks, Velda Charmaine. "Risk management." Thesis, Nelson Mandela Metropolitan University, 2010. http://hdl.handle.net/10948/1480.

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The objective of the study is to establish a perspective of risk management by doing an assessment of current risk management practices, especially in the aftermath of the 2008/2009 global financial crisis. Risk management, as a component of corporate governance, was analysed by addressing the following: - The nature of value-creating assets in business; - The primary challenges for risk management over the next three years; - The changing approaches towards risk management; - The role of legislation and external stakeholders; - The role of risk management in strategic planning; - The cost of

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27

Bedendo, Mascia. "Density forecasting in financial risk modelling." Thesis, University of Warwick, 2003. http://wrap.warwick.ac.uk/2661/.

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As a result of an increasingly stringent regulation aimed at monitoring financial risk exposures, nowadays the risk measurement systems play a crucial role in all banks. In this thesis we tackle a variety of problems, related to density forecasting, which are fundamental to market risk managers. The computation of risk measures (e.g. Value-at-Risk) for any portfolio of financial assets requires the generation of density forecasts for the driving risk factors. Appropriate testing procedures must then be identified for an accurate appraisal of these forecasts. We start our research by assessing

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28

HADJI, MISHEVA BRANKA. "Measuring Financial Risks: The Application of Network Theory in Fintech Risk Management." Doctoral thesis, Università degli studi di Pavia, 2020. http://hdl.handle.net/11571/1344336.

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Recent advancements, gradually transforming the traditional economic and financial system, are mainly characterized with the emergence of digital-based systems. Such systems present a paradigm shift from traditional infrastructural systems to technological (digital) systems. Financial technological (Fintech) companies are gradually gaining ground in major developed economies across the world. The emergence of Peer-to-Peer (P2P) platforms is a typical example of a Fintech system. The P2P platform aims at facilitating credit services by connecting individual lenders with individual borrowers wit

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29

Chen, Hua. "Contingent Claim Pricing with Applications to Financial Risk Management." Digital Archive @ GSU, 2008. http://digitalarchive.gsu.edu/rmi_diss/22.

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Contingent Claim Pricing with Applications to Financial Risk Management By Hua Chen 2008 Committee Chair: Samuel H. Cox and Shaun Wang Major Academic Unit: Department of Risk Management and Insurance This is a multi-essay dissertation designed to explore the contingent claim pricing theory with non-tradable underlying assets, with emphasis on its applications to insurance and risk management. In the first essay, I apply the real option pricing theory and dynamic programming methods to address problems in the area of operational risk management. Particularly, I develop a two-stage model to he

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30

Baldwin, Sheena. "Extreme value theory : from a financial risk management perspective." Thesis, Stellenbosch : Stellenbosch University, 2004. http://hdl.handle.net/10019.1/53743.

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Thesis (MBA)--Stellenbosch University, 2004.<br>ENGLISH ABSTRACT: Risk managers and regulators are primarily concerned with ensuring that there is sufficient capital to withstand the effects of adverse movements in market prices. The accurate prediction of the maximum amount that a financial institution can expect to Jose over a specified period is essential to guard against catastrophic losses that can threaten the viability of an individual finn or the stability of entire markets. Value-at-risk (VaR) is a quantile-based measure of risk that is widely used for calculating the capital ad

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31

Yamashita, Mamiko. "Three Essays on Financial Risk Management and Fat Tails." Thesis, Toulouse 1, 2020. http://www.theses.fr/2020TOU10056.

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Dans cette thèse, nous étudions les divers impacts de la spécification erronée du modèle et examinons comment gérer l'incertitude d'un modèle. Nous analysons l'impact de l'ignorance des “fat tails” sur un résultat des tests de comparaison des prévisions dans le premier chapitre, puis étudions les effets de l'ignorance de la dynamique de la prime de risque des rendements sur le montant des exigences de fonds propres des banques dans le deuxième chapitre. Le troisième chapitre fournit un moyen robuste de déterminer les exigences de fonds propres face à l'incertitude d'un modèle, c'est-à-dire à u

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32

Simonson, Peter Douglas. "Limiting Financial Risk from Catastrophic Events in Project Management." Diss., North Dakota State University, 2020. https://hdl.handle.net/10365/31939.

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This dissertation develops a mixed integer linear program to establish the upper and lower bounds of the Alphorn of Uncertainty. For a project manager, planning for uncertainty is a staple of their jobs and education. But the uncertainty associated with a catastrophic event presents difficulties not easily controlled with traditional methods of risk management. This dissertation brings and modifies the concept of a project schedule as a bounded “Alphorn of Uncertainty” to the problem of how to reduce the risk of a catastrophic event wreaking havoc on a project and, by extension, the company

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33

Madaleno, Mara Teresa da Silva. "Essays on energy derivatives pricing and financial risk management." Doctoral thesis, Universidade de Aveiro, 2011. http://hdl.handle.net/10773/7302.

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Doutoramento em Economia<br>This thesis consists of an introductory chapter (essay I) and five more empirical essays on electricity markets and CO2 spot price behaviour, derivatives pricing analysis and hedging. Essay I presents the structure of the thesis and electricity markets functioning and characteristics, as well as the type of products traded, to be analyzed on the following essays. In the second essay we conduct an empirical study on co-movements in electricity markets resorting to wavelet analysis, discussing long-term dynamics and markets integration. Essay three is about h

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34

Yazid, Ahmad Shukri. "Perceptions and practices of financial risk management in Malaysia." Thesis, Glasgow Caledonian University, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.364743.

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35

Masie, Desné Rentia. "Mediating markets : financial news media and reputation risk management." Thesis, University of Edinburgh, 2014. http://hdl.handle.net/1842/14196.

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The increase of interest in financial culture following the financial crisis, which started in 2008, as well as the proliferation of financial data, have sparked an emerging research agenda into the role of financial news media. Moreover, financial news media is an important research topic in finance because information released through the media has a wider audience than other information intermediating systems in the financial market. This thesis defines the financial journalist as a significant actor in the intermediation of financial information. It also contributes to understanding how th

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36

Holifield, Suzanne Marie. "Risk management and hedge accounting decisions at financial institutions." Connect to resource, 1995. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1267632084.

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37

Awiszus, Kerstin [Verfasser]. "Actuarial and financial risk management in networks / Kerstin Awiszus." Hannover : Gottfried Wilhelm Leibniz Universität Hannover, 2020. http://d-nb.info/1215427298/34.

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38

Vuillemey, Guillaume. "Derivatives markets : from bank risk management to financial stability." Thesis, Paris, Institut d'études politiques, 2015. http://www.theses.fr/2015IEPP0007/document.

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Dans sa première partie, cette thèse étudie l’utilisation optimale des produits dérivés par les intermédiaires financiers dans leur gestion du risque, en prêtant spécifiquement attention au marché des dérivés de taux d’intérêt. En modélisant la structure de capital optimale d’une banque, le premier chapitre montre comment l’usage optimal des dérivés affecte certaines décisions souvent étudiées en finance d’entreprise : l’offre de crédit, la transformation de maturité, la politique de dividendes ou les probabilités de défaut. La seconde partie de la thèse étudie au contraire le marché des dériv

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Anastasio, Edoardo <1996&gt. "The relationship between financial risk management and shareholders value." Master's Degree Thesis, Università Ca' Foscari Venezia, 2022. http://hdl.handle.net/10579/20812.

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The aim of this thesis is to investigate the relationship between financial risk management (or hedging), the underinvestment problem and the increase in shareholders and firm value. To do so, we will present first the different theories and supporting evidence for the value generation capability of hedging strategies (i.e by generating tax benefits, reducing distress costs, reducing the underinvestment problemt). Moving on, we will provide a theoretical introduction to the concepts of risk, exposure, and risk management, and then we will review different schools of thought of risk management

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40

Kwok, Ying-kit Tony. "A study on treasury risk control in financial institutions in Hong Kong /." Hong Kong : University of Hong Kong, 1995. http://sunzi.lib.hku.hk/hkuto/record.jsp?B14038912.

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Siu, Kin-bong Bonny. "Expected shortfall and value-at-risk under a model with market risk and credit risk." Click to view the E-thesis via HKUTO, 2006. http://sunzi.lib.hku.hk/hkuto/record/B37727473.

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42

Ye, Kang. "Knowledge level modeling for systemic risk management in financial institutions /." access full-text access abstract and table of contents, 2009. http://libweb.cityu.edu.hk/cgi-bin/ezdb/thesis.pl?phd-is-b30082274f.pdf.

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Thesis (Ph.D.)--City University of Hong Kong, 2009.<br>""Submitted to College of Business in partial fulfillment of the requirements for the degree of Doctor of Philosophy." Includes bibliographical references (leaves 106-117)

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43

Neis, Eric. "Three essays in financial economics." Diss., Restricted to subscribing institutions, 2006. http://proquest.umi.com/pqdweb?did=1158520261&sid=1&Fmt=2&clientId=1564&RQT=309&VName=PQD.

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44

Weiss, Susan F. "Implications of Executive Succession Upon Financial Risk and Performance." ScholarWorks, 2011. https://scholarworks.waldenu.edu/dissertations/958.

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Executive replacements have historically created fluctuations in the market value of a company and precipitated inappropriate investor reaction. However, the direction and statistical significance of relationships between executive turnover, market value, financial risk, and investor reaction among a census of highly performing firms was previously unexplored. The purpose of this study was to determine the extent of the relationship between CEO turnover and indicators of company performance. Theoretical foundation for this study was the efficient markets hypothesis. Hypotheses tests were desig

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45

Wang, Letian. "Global supply chain risk management through operational and financial hedges." Thesis, McGill University, 2010. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=95041.

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This thesis comprises two papers that investigate the impact of operational and/or financial hedging on risk management in a global supply chain environment. The problems are derived from the current climate in which many North American firms are heavily contracting overseas suppliers located in China, India, Vietnam and other countries. The theoretical and numerical results obtained in this thesis provide managerial insights to mitigate demand and exchange rate risks in outsourcing in the event that firms are risk averse. The first paper studies operational hedging strategy for firms that fac

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46

Seidel, Henry [Verfasser], and Alexander [Akademischer Betreuer] Szimayer. "Essays in Financial Risk Management / Henry Seidel ; Betreuer: Alexander Szimayer." Hamburg : Staats- und Universitätsbibliothek Hamburg, 2017. http://d-nb.info/1148650563/34.

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47

Reddy, Harry 1963. "Financial supply chain dynamics : operational risk management and RFID technologies." Thesis, Massachusetts Institute of Technology, 2005. http://hdl.handle.net/1721.1/33729.

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Thesis (M. Eng. in Logistics)--Massachusetts Institute of Technology, Engineering Systems Division, 2005.<br>Includes bibliographical references (leaves 81-83).<br>The banking industry is consolidating to streamline its operations through mergers and acquisitions, and is adopting new technologies to develop innovative products and services, thereby achieving both economies of scale and scope. Operational risk management has become a serious issue in the banking industry. Some reputed banks are either forced to close down their operations (eg., Citibank Private Bank in Japan) or faced cost over

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48

Zhu, Yanhui. "Nature and management of financial risk in global stock markets." Thesis, Cardiff University, 2008. http://orca.cf.ac.uk/55720/.

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This thesis addresses three problems associated with the risk in stock markets from a global perspective. First, we investigate the empirical hedging effectiveness using index futures in six world major stock markets. A variety of econometric models including STVECM with bivariate GARCH error structure are employed. The within-sample and out-of-sample results suggest sophisticated models do not produce the best hedging strategies consistently and their usefulness has to be judged on a case-by-case basis. Second, we examine the cross hedging effectiveness of seventeen MS CI indices through a gl

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Yousefi, Sepehr. "Credit Risk Management in Absence of Financial and Market Data." Thesis, KTH, Matematisk statistik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-188800.

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Abstract:

Credit risk management is a significant fragment in financial institutions' security precautions against the downside of their investments. A major quandary within the subject of credit risk is the modeling of simultaneous defaults. Globalization causes economises to be affected by innumerous external factors and companies to become interdependent, which in turn enlarges the complexity of establishing reliable mathematical models. The precarious situation is exacerbated by the fact that managers often suffer from the lack of data. The default correlations are most often calibrated by either us

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Seidel, Henry Verfasser], and Alexander [Akademischer Betreuer] [Szimayer. "Essays in Financial Risk Management / Henry Seidel ; Betreuer: Alexander Szimayer." Hamburg : Staats- und Universitätsbibliothek Hamburg, 2017. http://d-nb.info/1148650563/34.

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