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Dissertations / Theses on the topic 'Methods of minimizing credit risk'

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Published: 30 May 2022

Last updated: 31 July 2025

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1

Wendin, Jonathan Erik Purvis. "Bayesian methods in portfolio credit risk management." Zürich : ETH, 2006. http://e-collection.ethbib.ethz.ch/ecol-pool/diss/abstracts/p16481.pdf.

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Noro, Elisabetta <1991&gt. "Models and Methods for Counterparty Credit Risk Measurement." Master's Degree Thesis, Università Ca' Foscari Venezia, 2017. http://hdl.handle.net/10579/9964.

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The last two decades have been characterized by several financial disasters, large institutions collapsed proving that an insufficiency of financial risk management can cause huge losses and ripple effects throughout the financial markets. Quantitative approaches to risk management gained popularity and have been widely adopted. Nowadays firms need to understand their ability to face risks and to manage them carefully. Above all, the financial markets turmoil highlighted the importance of counterparty credit risk which is one of the many complex areas of financial risk. The aim of this researc

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3

Ortiz, Gracia Luis. "Haar Wavelets-Based Methods for Credit Risk Portfolio Modeling." Doctoral thesis, Universitat Politècnica de Catalunya, 2011. http://hdl.handle.net/10803/131054.

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In this dissertation we have investigated the credit risk measurement of a credit portfolio by means of the wavelets theory. Banks became subject to regulatory capital requirements under Basel Accords and also to the supervisory review process of capital adequacy, this is the economic capital. Concentration risks in credit portfolios arise from an unequal distribution of loans to single borrowers (name concentration) or different industry or regional sectors (sector concentration) and may lead banks to face bankruptcy. The Merton model is the basis of the Basel II approach, it is a Gaussia

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4

Stepanova, Maria. "Using survival analysis methods to build credit scoring models." Thesis, University of Southampton, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.364729.

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5

Yueh, Meng-Lan. "Numerical lattice methods for implementing interest rate and credit risk models." Thesis, University of Warwick, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.252479.

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6

Dalne, Katja. "Validation Techniques for Credit Risk Models - Applying New Methods on Nordea’s Corporate Portfolio." Thesis, KTH, Skolan för teknikvetenskap (SCI), 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-129067.

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Nordea, being the largest corporate group of its kind in Northern Europe, has a great need of evaluating its customers ability to repay a debt as well as the probability of bankruptcy. The evaluation is done by different statistically derived internal rating models, based on logistic regression. The models have been developed by the use of historical data and attain good predictiveness when a lot of observational data is provided for each specific customer. In order to ameliorate the rating models, Nordea wants to implement two new validation methods, recommended by the reputable credit rating

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7

Mühlbacher, Andreas [Verfasser], and Thomas [Akademischer Betreuer] Guhr. "Statistical Methods Applied to Credit Risk and Reacting Systems / Andreas Mühlbacher ; Betreuer: Thomas Guhr." Duisburg, 2019. http://d-nb.info/1201273951/34.

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8

Шульженко, Г. М. "Кредитний ризик і його вплив на діяльність українських банків". Thesis, Українська академія банківської справи Національного банку України, 2012. http://essuir.sumdu.edu.ua/handle/123456789/63853.

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Розглянуто кредитний ризик як одним із найнебезпечніших ризиків для банку. Запропоновано нове бачення проблеми кредитного ризику українських комерційних банків для створення адекватної та ефективної системи його попередження та мінімізації.<br>The author considered Credit risk as one of the most dangerous risk for the bank. Proposed a new vision for credit risk Ukrainian commercial banks to create adequate and effective system of its prevention and minimization.

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9

Hajiyev, Rashad <1996&gt. "Risks faced by the banking sector, credit risk measurement methods and an application on Azerbaijan banking sector." Master's Degree Thesis, Università Ca' Foscari Venezia, 2021. http://hdl.handle.net/10579/20128.

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The most important type of risk that banks traditionally face is credit risk. The banking sector is basically faced with credit, operational, liquidity, interest rate, market, capital, exchange rate and operational risks. Among these risks, especially in recent years, the credit risk, which has started to be examined in more detail following the economic and financial crises in the world markets, and manifests itself more with the increase in the default risk levels of companies. The purpose of the thesis is to reveal what kind of credit risks banks face, what kind of practices they have devel

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10

Pyć, Agnieszka. "Analysis of alternative methods of operational risk transfer across financial industry sectors." Berlin Pro Business, 2009. http://d-nb.info/995945837/04.

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11

Домрачев, В. М. "Методи оцінки банком ризиків кредитування окремих галузей економіки України". Thesis, Українська академія банківської справи Національного банку України, 2010. http://essuir.sumdu.edu.ua/handle/123456789/61451.

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Зв’язок потоків товарів і відповідних потоків грошових коштів між галузями економіки важливий для економічного зростання. Цей зв’язок відіграє важливу роль у моделі загальної рівноваги (міжгалу- зевого балансу), яку свого часу використовували для прогнозування у плановій економіці.

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12

Järnberg, Emelie. "Dynamic Credit Models : An analysis using Monte Carlo methods and variance reduction techniques." Thesis, KTH, Matematisk statistik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-197322.

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In this thesis, the credit worthiness of a company is modelled using a stochastic process. Two credit models are considered; Merton's model, which models the value of a firm's assets using geometric Brownian motion, and the distance to default model, which is driven by a two factor jump diffusion process. The probability of default and the default time are simulated using Monte Carlo and the number of scenarios needed to obtain convergence in the simulations is investigated. The simulations are performed using the probability matrix method (PMM), which means that a transition probability matri

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13

Aerni, Matthias. "Public disclosure of market and credit risks : risk assessment methods, current reporting practices and recommendations relating to the public disclosure of market, credit and operating risks /." [S.l.] : [s.n.], 1999. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=008789196&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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14

Kissík, Tomáš. "Analýza faktorov kreditného rizika u spotrebiteľských úverov." Master's thesis, Vysoká škola ekonomická v Praze, 2016. http://www.nusl.cz/ntk/nusl-264694.

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This thesis takes up the issue of consumer loans credit risk. It aims to identify factors that influence the likelihood of default during the repayment of bank retail products. Theoretical part is focused on the theory of bank loans, credit risk together with its regulation within the Basel guidelines and a description of the most commonly used statistical methods for the creation of scoring models. In the practical part, logistic regression parameter estimates are used on real set, the main features linking loans in default are examined and their impact on the proportion of bad loans in the p

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15

Barrett, Shaun D'olene Kecia. "Effects of Information Technology Risk Management and Institution Size on Financial Performance." ScholarWorks, 2016. https://scholarworks.waldenu.edu/dissertations/2636.

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A negative relationship exists between unmanaged IT risk and financial performance of institutions of varying sizes. The purpose for this quantitative correlation study was to examine the relationship between IT risk management, institution size, and the financial performance of credit unions in Jamaica. Information Systems Audit and Control Association (ISACA) risk IT model provided the theoretical framework for the study. Audited financial statements and a web-based survey provided data for this study. One hundred and thirty employees from 13 credit unions in Jamaica participated in the stud

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16

Brown, Rachael Annette. "Exploring the Performance of the Financial Service Cooperative Industry in Grenada." ScholarWorks, 2017. https://scholarworks.waldenu.edu/dissertations/3660.

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The 2008 financial crisis impacted the Caribbean financial sector with declining liquidity and profitability, and return on assets falling to 0.7% from 2.6%. The purpose of this single case study was to explore strategies that credit union executives in Grenada used to consistently maintain profitability. The targeted study population consisted of four credit union executives responsible for operations, administration, and regulations in the financial service cooperative industry in Grenada. The social influence of power theory was the conceptual framework that grounded this study. The data co

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17

Яманді, Р. І. "Управління ризиками фінансової установи". Thesis, 2019. http://dspace.oneu.edu.ua/jspui/handle/123456789/10889.

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У роботі розглядаються теоретичні аспекти визначення сутності та класифiкацiї ризикiв фінансових установ а також вплив кредитного ризику на їх діяльність. Проаналізовано процес управління кредитним ризиком банку на прикладі ПАТ АБ «Пiвденний». Також проведено аналіз процесу формування кредитного ризику в банківській системі України. Запропоновано критерії оцінювання фінансового стану позичальника на основі моделей комплексного аналізу, а також зарубіжні методи оцінки та управління банківськими ризиками й можливості їх впровадження в Україні.<br>Diploma thesis deals with theoretical aspects o

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18

Neuberg, Richard. "Advances in Credit Risk Modeling." Thesis, 2017. https://doi.org/10.7916/D84T6JZ0.

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Following the recent financial crisis, financial regulators have placed a strong emphasis on reducing expectations of government support for banks, and on better managing and assessing risks in the banking system. This thesis considers three current topics in credit risk and the statistical problems that arise there. The first of these topics is expectations of government support in distressed banks. We utilize unique features of the European credit default swap market to find that market expectations of European government support for distressed banks have decreased -- an important deve

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19

Wu, Chao-Sheng, and 吳昭昇. "Numerical Methods for Model Calibration under Credit Risk." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/95592249534521969397.

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碩士<br>國立臺灣大學<br>資訊工程學研究所<br>87<br>Interest rate derivatives are instruments whose payoffs depend in some way on interest rates. To price them, it involves constructing a model to describe the probabilistic behavior of interest rates. When valuing a derivative, it is customary to assume that there is no risk of default. However, the no-default assumption is not defensible, especially in over-the-counter markets. So dealing with credit risk issues has become more and more important. This thesis is concerned w

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20

Lee, Yi-hsi, and 李宜熹. "Monte Carlo Methods for Multifactor Portfolio Credit Risk." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/76349278397107737529.

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博士<br>國立中山大學<br>財務管理學系研究所<br>98<br>This study develops a dynamic importance sampling method (DIS) for numerical simulations of rare events. The DIS method is flexible, fast, and accurate. The most importance is that it is very easy to implement. It could be applied to any multifactor copula models, which conduct by arbitrary independent random variables. First, the key common factor (KCF) is determined by the maximum value among the coefficients of factor loadings. Second, searching the indicator by the order statistics and applying the truncated sampling techniques, the probability of large l

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21

Ju, Hann-Shing, and 朱漢興. "Option and Credit Risk Valuation: Methods, Modeling, and Applications." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/3nuw2w.

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博士<br>國立中興大學<br>財務金融學系所<br>106<br>This dissertation presents methodologies and techniques for pricing financial derivatives, including pricing stock option, evaluating credit spread, and conducting capital structure arbitrage. The first article of this dissertation concerns pricing stock options by bivariate binomial Lattices. This article introduces a more efficient bivariate binomial lattice method to price stock options. The proposed approach simply replaces the drift term of the stock price process by the integration of the forward rate curve over the horizon of the option’s maturity in co

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22

Barra, Emilio Banqueri. "Residential mortgage default risk estimation: applying machine learning methods in credit risk modelling." Master's thesis, 2021. http://hdl.handle.net/10362/122850.

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23

Reichenbach, Jonas. "Credit scoring with advanced analytics: applying machine learning methods for credit risk assessment at the Frankfurter sparkasse." Master's thesis, 2018. http://hdl.handle.net/10362/49557.

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Project Work presented as the partial requirement for obtaining a Master's degree in Information Management, specialization in Information Systems and Technologies Management<br>The need for controlling and managing credit risk obliges financial institutions to constantly reconsider their credit scoring methods. In the recent years, machine learning has shown improvement over the common traditional methods for the application of credit scoring. Even small improvements in prediction quality are of great interest for the financial institutions. In this thesis classification methods are appli

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24

Lourenço, Rodrigo Sant'Ana. "Structural credit risk models and the determinants of credit default swap spreads." Master's thesis, 2021. http://hdl.handle.net/10071/24068.

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Following the financial innovation and the consequences of the recent 2008-2009 global financial crisis, the interest and resources allocated into measuring and modelling credit risk has seen a major increase by researchers and practitioners over the last decades. The main objective of this thesis is to explore the determinants of credit spreads, analysing first the performance of theoretical variables of default risk in explaining credit default swap (CDS) spreads, while introducing other firm-specific, macroeconomic, liquidity and credit rating factors. The dataset used is composed of non-f

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25

Vila, Verde Francisca Viçoso. "Peer-to-peer lending: Evaluation of credit risk using Machine Learning." Master's thesis, 2021. http://hdl.handle.net/10362/127084.

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Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management<br>Peer-to-peer lenders have transformed the credit market by being an alternative to traditional financial services and taking advantage of the most advanced analytics techniques. Credit scoring and accurate assessment of borrower’s creditworthiness is crucial to managing credit risk and having the capacity of adapting to current market conditions. The Logistic Regression has long been recognised as the benchmark model for

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26

Reiß, Oliver [Verfasser]. "Mathematical methods for the efficient assessment of market and credit risk / von Oliver Reiß." 2003. http://d-nb.info/968802109/34.

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27

Chen, Hui-Ling, and 陳慧玲. "KMV and Maximum Likelihood Methods for Structural Credit Risk Models: Evidence from Taiwan Market." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/71662497095283402046.

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碩士<br>國立中央大學<br>統計研究所<br>95<br>KMV method is a popular commercial implementation of Merton''s (1974) structural credit risk model. It is found in recent academic papers, but it is not clear as to whether it is statistically sound. Unlike the MLE method, the KMV method is speechless with the distributional properties of the estimates and it is unsuited for statistical inference. We follow Duan et al. (2004) to verify that the KMV estimate is identical to the MLE estimate in Merton''s (1974) model. Moreover, we perform the Monte Carlo simulation to show that the estimations of KMV and MLE are al

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28

Chen, Yi-Xiang, and 陳奕翔. "On Boosting Methods in Machine Learning with Applications in Delinquency Prediction for Credit Risk Management." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/q2cy27.

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碩士<br>國立交通大學<br>財務金融研究所<br>107<br>We use several machine learning techniques applied in credit default prediction project. Forecasting of credit card default is one of the necessary elements in developing of the credit economy. In my thesis, I focus on the boosting methods to identify the credit card default because the individual classifiers after boosting can predict better results in many data com- petitions. The results of experiment demonstrate that trained boosting models achieve better prediction than logistic regression. We hope boosting models may help financial institutions to speed

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29

Santos, Inês Pereira. "Structural credit risk models: analysis of listed companies in Portugal." Master's thesis, 2018. http://hdl.handle.net/10071/18353.

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Under the trend of financial globalization and considering the significant problems experienced by companies and banks during the Global Financial Crisis, the interest in credit risk measurement and management has increased substantially during the last decade. This study empirically investigates the structural credit risk approach, initiated with the seminal studies of Black and Scholes (1973) and Merton (1974), which regard corporate securities as contingent claims on a firm’s underlying assets. Throughout this study, we analyse and implement three structural credit risk models – the

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30

Banhudo, Guilherme Sousa Falcão Duarte. "Adaptive value-at-risk policy optimization: a deep reinforcement learning approach for minimizing the capital charge." Master's thesis, 2019. http://hdl.handle.net/10071/19197.

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In 1995, the Basel Committee on Banking Supervision emitted an amendment to the first Basel Accord, allowing financial institutions to develop internal risk models, based on the value-at-risk (VaR), as opposed to using the regulator’s predefined model. From that point onwards, the scientific community has focused its efforts on improving the accuracy of the VaR models to reduce the capital requirements stipulated by the regulatory framework. In contrast, some authors proposed that the key towards disclosure optimization would not lie in improving the existing models, but in manipulating the es

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31

Bastos, João Afonso Ribeiro Ferreira. "Pricing risky bonds with a two-factor term structure of interest rates." Master's thesis, 2007. http://hdl.handle.net/10400.5/16226.

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Mestrado em Finanças<br>Os modelos estruturais de avaliação de obrigações com risco de crédito modelam a possibilidade de incumprimento fazendo o preço das obrigações depender da evolução do valor da empresa emitente, que obedece a um processo de difusão. Adicionalmente, a incerteza na estrutura temporal de taxas de juro é introduzida fazendo o preço das obrigações depender de uma taxa de juro estocástica de curto prazo. Porém, a descrição da estrutura temporal de taxas de juro através de um único processo estocástico implica que os preços das obrigações sem risco são perfeitamente correlacion

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32

Hezoučká, Šárka. "Modely predikce defaultu klienta." Master's thesis, 2012. http://www.nusl.cz/ntk/nusl-305122.

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The aim of the presented work is to investigate possible improvement of scor- ing models prediction power in retail credit segment by using structural models estimating the future development of behavioral score. These models contain the information about past development of the behavioral score by parameters which take into account the sensitivity of clients' probability of default on in- dividual market and life changes. These parameters are estimated with Markov Chain Monte Carlo methods based on score history. Eight different types of struc- tural models were applied on the real data. The

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Hezoučká, Šárka. "Modely predikce defaultu klienta." Master's thesis, 2013. http://www.nusl.cz/ntk/nusl-341935.

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The aim of this thesis is to investigate possible improvement of scoring models prediction power in retail credit segment by using structural models estimating the future development of behavioral score. These models contain the informa- tion about past development of the behavioral score by parameters which take into account the sensitivity of clients' probability of default on individual market and life changes. These parameters are estimated by Markov Chain Monte Carlo methods based on score history. Eight different types of structural models were applied to real data. The diversification m

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34

Lopes, Andresa Patrícia Ferreira. "O impacto do Quantitative Easing do BCE sobre o risco de crédito das empresas na área do euro." Master's thesis, 2019. http://hdl.handle.net/10071/19253.

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Como consequência da crise financeira global, num contexto de baixas taxas de juro, os bancos centrais ficaram impossibilitados de utilizar os mecanismos tradicionais para estimular a economia e evitar a deflação. Nesse sentido adotaram um conjunto de medidas não convencionais que permitiam restaurar o funcionamento da economia real e restabelecer a concessão de crédito. Com esta dissertação foi analisado o impacto que as medidas de política monetária não convencional do Banco Central Europeu exerceram sobre o risco de crédito das empresas na área do euro, medido pelo CDS spreads de diferentes

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Постирнак, І. С. "Методичні підходи до ранньої діагностики банкрутства банків". Thesis, 2017. http://dspace.oneu.edu.ua/jspui/handle/123456789/6244.

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Мета дипломної роботи полягає у виявленні основних факторів, що призвели до банкрутства українських банків за останні 3 роки, та побудова моделі ранньої діагностики банкрутства банків на основі отриманих результатів.<br>Цель дипломной работы состоит в выявлении основных факторов, которые привели к банкротству украинских банков за последние 3 года, и построение модели ранней диагностики банкротства банков на основе полученных результатов.<br>The purpose of the thesis is to identify the main factors that led to the bankruptcy of Ukrainian banks over the past 3 years, and the construction of a mo

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