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Dissertations / Theses on the topic 'Minimization of credit risk'

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Published: 30 May 2022

Last updated: 31 July 2025

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1

Гендич, І. С. "Управління кредитним ризиком комерційних банків України". Thesis, Чернігів, 2020. http://ir.stu.cn.ua/123456789/22159.

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Гендич, І. С. Управління кредитним ризиком комерційних банків України : магістерська робота : 072 Фінанси, банківська справа та страхування / І. С. Гендич ; керівник роботи Ніколаєнко Ю. В. ; Національний університет «Чернігівська політехніка», кафедра фінансів, банківської справи та страхування. – Чернігів, 2020. – 95 с.<br>Предметом дослідження кваліфікаційної роботи є сукупність теоретичних, методичних, організаційних та практичних аспектів управління кредитним ризиком комерційного банку. Об’єктом дослідження є процес управління кредитним ризиком в АТ КБ «ПРИВАТБАНК». Мета кваліфікаційно

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2

Christodoulou, Panagiotis [Verfasser], and Thilo [Akademischer Betreuer] Meyer-Brandis. "Local risk-minimization under illiquidity and consistent specification of credit migration models / Panagiotis Christodoulou ; Betreuer: Thilo Meyer-Brandis." München : Universitätsbibliothek der Ludwig-Maximilians-Universität, 2020. http://d-nb.info/121641792X/34.

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3

Діну, М. Є. "Управління ризиками роздрібного банківського кредитування (на прикладі АТ «УКРСИББАНК»)". Thesis, Одеський національний економічний університет, 2020. http://dspace.oneu.edu.ua/jspui/handle/123456789/12607.

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У першому розділі дипломної роботи досліджено теоретичні засади сутності роздрібного ба-нківського бізнесу, розглянуто поняття роздрібного кредитування, визначено процес управління та методи мінімізації ризиків роздрібного банківського кредитування. Проаналізовано розвиток кредитної діяльності банківської системи України на сучасному етапі, досліджено умови кредитування, проведена оцінка ефективності кредитного портфеля та кон-курентоспроможності АТ «УКРСИББАНК» в порівнянні з банками-конкурентами, досліджено про-цес управління кредитним ризиком діяльності АТ «УКРСИББАНК». Розглянуто зарубіж

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4

Britse, Oscar, and Johan Jarnmo. "Greenhouse Gas Footprint Minimization of Credit Default Swap Baskets." Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-149230.

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Global bond market capitalization amounts to approximately $100 trillion, compared to $60 trillion in the equity markets. Despite debt financing being a large part of the global financial market, the measurements and greenhouse gas reduction investment strategies to date are not nearly as thorough as for equity financing. More recently, the problem has been brought into light by the World Bank, expressing concerns about the crucial role of debt financing activities in the current and upcoming threats caused by climate change. A commonly used credit derivative in debt financing is credit defaul

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5

Schreiber, Irene. "Risk-minimization for life insurance liabilities." Diss., lmu, 2012. http://nbn-resolving.de/urn:nbn:de:bvb:19-153192.

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6

Cretarola, Alessandra <1978&gt. "Local risk-minimization for defaultable markets." Doctoral thesis, Alma Mater Studiorum - Università di Bologna, 2007. http://amsdottorato.unibo.it/422/1/PhDthesis.pdf.

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7

Cretarola, Alessandra <1978&gt. "Local risk-minimization for defaultable markets." Doctoral thesis, Alma Mater Studiorum - Università di Bologna, 2007. http://amsdottorato.unibo.it/422/.

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8

Watson, Ed. "Pricing credit derivatives and credit risk." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2000. http://www.collectionscanada.ca/obj/s4/f2/dsk2/ftp01/MQ54085.pdf.

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9

TJONG, VALDY WIYASA. "ANALYZING CREDIT RISK." Thesis, The University of Arizona, 2008. http://hdl.handle.net/10150/192246.

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10

he, xiaofeng. "CREDIT CYCLE, CREDIT RISK AND BUSINESS CONDITIONS." NCSU, 2001. http://www.lib.ncsu.edu/theses/available/etd-20010718-110156.

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<p>We first present a Complex Singular Value Decomposition (CSVD)analysis of credit cyle and explore the lead-lag relation betweencredit cycle and business cycle, then propose a GeneralizedLinear Model (GLM) of credit rating transition probabilitiesunder the impact of business conditions.To detect the cyclic trend existence of credit condition in U.S.economy, all credit variables and business variables aretransformed to complex values and the transformed data matrix isapproximated by first order of CSVD analysis. We show that theeconomy, represented by both credit conditions and businesscondit

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11

Lauprête, Geoffrey J. (Geoffrey Jean) 1972. "Portfolio risk minimization under departures from normality." Thesis, Massachusetts Institute of Technology, 2001. http://hdl.handle.net/1721.1/8303.

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Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, Operations Research Center, 2001.<br>Includes bibliographical references (p. 206-210).<br>This thesis revisits the portfolio selection problem in cases where returns cannot be modeled as Gaussian. The emphasis is on the development of financially intuitive and statistically sound approaches to portfolio risk minimization. When returns exhibit asymmetry, we propose using a quantile-based measure of risk which we call shortfall. Shortfall is related to Value-at-Risk and Conditional Value-at-Risk, and can be tuned

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12

Sendon, Perez Juan Alejandro. "Risk minimization through metrology in semiconductor manufacturing." Thesis, Lyon, 2017. http://www.theses.fr/2017LYSEM022.

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Cette thèse consiste à analyser les différentes propriétés des ateliers de métrologie, proposer de nouvelles approches pour optimiser les taux d'échantillonnage et développer de nouvelles stratégies dynamiques de réduction des risques en fabrication des semi-conducteurs.Une analyse approfondie des ateliers de métrologie sur le site de Rousset de STMicroelectronics a été réalisée. Leurs propriétés physiques ainsi que leurs caractéristiques, comme la qualification des mesures, les stratégies d'échantillonnage et d’ordonnancement des lots et les niveaux de risque, sont prises en compte. De plus,

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13

Den, Braber Ronald Franciscus Johannes. "Credit risk pricing models as applied to credit trading and risk management." Thesis, Imperial College London, 2006. http://hdl.handle.net/10044/1/7980.

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14

Sewnath, Neville. "Pricing of credit risk and credit risk derivatives : from theory to implementation." Master's thesis, University of Cape Town, 2008. http://hdl.handle.net/11427/5614.

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15

Frerichs, Hergen. "Evaluating credit risk models /." [S.l.] : [s.n.], 2003. http://aleph.unisg.ch/hsgscan/hm00105641.pdf.

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16

Bali, Geetanjali. "Studies in Credit Risk." Thesis, University of Reading, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.507020.

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17

Zhou, Ping. "Essays on credit risk." Thesis, London School of Economics and Political Science (University of London), 2014. http://etheses.lse.ac.uk/945/.

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18

Xie, Hui. "Sovereign credit risk spillover." Thesis, University of Nottingham, 2014. http://eprints.nottingham.ac.uk/27743/.

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This thesis examines cross-market correlations between means and variances in sovereign credit markets and captures the presence of any contagion effect by focusing on parallel movements between markets in the wake of the recent crisis. Furthermore, it focuses on the effect of policy interventions on the dynamics of these correlations. First, to look at the correlation between markets, we investigate the interaction between sovereign spreads and creditworthiness. Our results suggest that there are stable long-term cointegration relationships and significant short-term reactions between governm

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19

Chapman, Zaneta Anne. "Risk, Return and Credit." Diss., Temple University Libraries, 2010. http://cdm16002.contentdm.oclc.org/cdm/ref/collection/p245801coll10/id/82992.

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Business Administration<br>Ph.D.<br>This dissertation investigates the role of credit in the evaluation of risk and return. The research comprises three essays, which analyze the use of credit from different perspectives. Chapter 1: The first essay proposes a comprehensive theory for the assessment and implementation of "acceptable" underwriting and rating variables. While the use of personal credit was the driving force behind the essay, we extend our theory and models to include all controversial rating classifications. It is shown that a rating classification would be appropriate when the c

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20

Kolman, Marek. "Portfolio Credit Risk Modeling." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-75474.

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Thesis Portfolio Credit Risk Modeling focuses on state-of-the-art credit models largely implemented by banks into their banking risk-assessment and complementary valuation system frameworks. Reader is provided in general with both theoretical and applied (practical) approaches that are giving a clear notion how selected portfolio models perform in real-world environment. Our study comprises CreditMetrics, CreditRisk+ and KMV model. In the first part of the thesis, our intention is to clarify theoretically main features, modeling principles and moreover we also suggest hypotheses about strength

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21

Margonis, Efstathios. "Modelling credit risk with applications to credit derivatives." Thesis, Imperial College London, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.398142.

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22

Gu, Jiawen, and 古嘉雯. "On credit risk modeling and credit derivatives pricing." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2014. http://hdl.handle.net/10722/202367.

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In this thesis, efforts are devoted to the stochastic modeling, measurement and evaluation of credit risks, the development of mathematical and statistical tools to estimate and predict these risks, and methods for solving the significant computational problems arising in this context. The reduced-form intensity based credit risk models are studied. A new type of reduced-form intensity-based model is introduced, which can incorporate the impacts of both observable trigger events and economic environment on corporate defaults. The key idea of the model is to augment a Cox process with trigge

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23

Purewsuren, Zazral. "Sovereign risk and structural credit risk models." Thesis, University of Sheffield, 2012. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.577690.

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This thesis is an analysis of sovereign default using option pricing models. The first part of the thesis applies the structural credit risk models of Gapen, Gray, Lim and Xiao, (GGLX) and Karmann and Maltritz (KM) to 25 countries accounting for about 75% of global GDP. The GGLX model underestimates sovereign spread and hence the probability of default. This confirms one of the main criticisms of structural credit risk models when applied to corporate default. By contrast, the estimates produced by the KM are far too high; the estimated probability of default is almost one in some cases. The s

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24

Nowicki, Pierre. "Counterparty credit risk under credit risk contagion using time-homogeneous phase-type distribution." Thesis, Imperial College London, 2015. http://hdl.handle.net/10044/1/33778.

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With the current situation of credit spread contagion illustrated by the European sovereign bonds crisis and the chain reaction triggered by the derivatives books of Lehman Brothers, financial institutions have increasingly focused on pricing and risk management of counterparty credit risk. Recent credit contagion through financial contingent claims highlight the fact that contagion links impact the value of products when investors are exposed to counterparty risk. This thesis plan to build on reduced-form credit risk models to assess the credit risk contagion that is inherent in a obligor mul

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25

Gobbo, Alberto <1991&gt. "Downside risk in a tracking error minimization problem." Master's Degree Thesis, Università Ca' Foscari Venezia, 2019. http://hdl.handle.net/10579/14636.

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26

Martinez, John Brett. "Credit card credit scoring and risk based lending at XYZ Credit Union." CSUSB ScholarWorks, 2000. https://scholarworks.lib.csusb.edu/etd-project/1752.

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27

Zhang, Yang (Stephen). "Counterparty credit risk, funding risk and central clearing." Thesis, Imperial College London, 2015. http://hdl.handle.net/10044/1/61334.

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In this thesis we have a review of the critical issues of CVA/DVA/FVA pricing framework, provide detailed economic interpretations of these xVA terms and present empirical studies on DVA hedging practice in the marketplace and a new approach to hedge DVAs. The economic drivers and implications of central clearing and initial margins on derivatives are addressed as well.

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28

Penha, Ricardo Miguel do Brito. "Default risk : analysis of a credit risk model." Master's thesis, Instituto Superior de Economia e Gestão, 2016. http://hdl.handle.net/10400.5/12902.

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Mestrado em Ciências Actuariais<br>Uma parte considerável do negócio bancário inclui naturalmente o empréstimo de dinheiro. Inerentemente, o risco de não receber de volta o montante emprestado é assumido pela instituição bancária. Neste trabalho, o risco de incumprimento é estudado através da função de distribuição das perdas agregadas. Depois de feita a ponte entre as características de uma carteira de empréstimos de um banco e as características de uma carteira de apólices de seguros vida, os resultados da Teoria de Risco podem ser aplicados à carteira em estudo. O CreditRisk+, geralmente c

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29

Chiurchiu, Pier Paolo. "Approximations in Credit Risk Models." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2016. http://amslaurea.unibo.it/12385/.

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In this thesis we present the intensity-based approach to consider default in a general local-stochastic volatility model with stochastic interest rate. In this setting we describe, as in [18], a technique to find approximate solutions of the corresponding partial differential equations and we provide numerical examples in the particular case of JDCEV and Vasicek model, respectively, for the dynamics of the asset and the short rate. Finally, we introduce a formula for the par CDS spreads and applying the approximation method we calibrate our intensity model to credit data finding the model par

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30

Martin, Marcel Nicolas. "Credit risk in derivative products." Thesis, Online version, 1997. http://ethos.bl.uk/OrderDetails.do?did=1&uin=uk.bl.ethos.390362.

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31

Patricio, Antonio Pires. "Credit risk assessment in Macau." Thesis, University of Macau, 2004. http://umaclib3.umac.mo/record=b1636249.

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32

Esparragoza, Rodriguez Juan Carlos. "Large portfolio credit risk modelling." Thesis, Imperial College London, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.486274.

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A model for large portfolio credit risk is developed by using results on the asymptotic behaviour of stochastic networks. We analyse some of the charac- teristics of the model by studying the infinitesimal generator of the portfolio default process using some results of the theory of Piecewise Deterministic processes (PDPs). An efficient pricing technique is proposed using a newly- 1ntroduced quadrature algorithm using a decomposition of the sample space similar to the canonical Poisson space decomposition. Accurate calibration to iTraxx spreads is demonstrated.

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33

Huang, Hueng-Ming. "Two essays on credit risk." Related electronic resource:, 2007. https://login.libezproxy2.syr.edu/login?qurl=http://proquest.umi.com/pqdweb?did=1441197851&sid=7&Fmt=2&clientId=3739&RQT=309&VName=PQD.

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34

Mu, Yuan. "Chinese bank's credit risk assessment." Thesis, University of Stirling, 2007. http://hdl.handle.net/1893/210.

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This thesis studies the Chinese banks’ credit risk assessment using the Post Keynesian approach. We argue that bank loans are the major financial sources in emerging economies and it is uncertainty, an unquantifiable risk, rather than asymmetric information about quantifiable risk, as held by the mainstream approach, which is most important for the risk attached to credit loans, and this uncertainty is particularly important in China. With the universal existence of uncertainty, borrowers and lenders have to make decisions based on convention and experience. With regard to the nature of decisi

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35

Anastassopoulou, Nikolitsa. "Credit risk measurement and modelling." Thesis, City University London, 2006. http://openaccess.city.ac.uk/8497/.

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This thesis aims to make a contribution to the understanding of the key economic and company specific components of credit spreads in the investment and non-investment grade US bond market for different maturing bond indices. It calls for the full integration of different market andfirm specific variables into a unique framework, in order to predict credit spread changes. Key determinants of default risk are employed to determine credit migration risk. Particularly, this thesis provides evidence as to the relation between different macroeconomic factors and credit spread changes in all differe

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36

Papageorgiou, Nicolas. "Empirical studies in credit risk." Thesis, University of Reading, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.408992.

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37

Li, Yan. "Essays on credit risk modeling." Thesis, University College London (University of London), 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.407954.

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38

Swamy, Murali. "Aspects of credit risk modeling." Thesis, Imperial College London, 2011. http://hdl.handle.net/10044/1/8588.

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39

Gunnars, Johan. "Credit Risk Modeling and Implementation." Thesis, Umeå universitet, Institutionen för fysik, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-131318.

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The financial crisis and the bankruptcy of Lehman Brothers in 2008 lead to harder regulations for the banking industry which included larger capital reserves for the banks. One of the parts that contributed to this increased capital reserve was the the credit valuation adjustment capital charge which can be explained as the market value of the counterparty default risk. The purpose of the credit valuation adjustment capital charge is to capitalize the risk of future changes in the market value of the counterparty default risk. One financial contract that had a key role in the financial crisis

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40

Martins, Joana Sofia Luís. "Credit risk of financial institutions." Master's thesis, NSBE - UNL, 2014. http://hdl.handle.net/10362/11692.

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A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics<br>Although there is substantial literature on credit risk, studies often do not consider financial institutions. However, considering that several entities are exposed to these institutions, namely through the counterparty role that they play, it is of major relevance the accurate assessment of its credit risk. As such, this study aims at analysing three different models to measure credit risk of financial institutions and conclude which one best

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41

Rosário, João David Claro Ferreira do. "Credit risk and banking activities." Master's thesis, Instituto Superior de Economia e Gestão, 2016. http://hdl.handle.net/10400.5/12580.

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Mestrado em Finanças<br>O risco de crédito para o sector bancário é um assunto muito importante. Nesse sentido, é primordial adquirir ferramentas para medir este risco com algum grau de segurança de modo a ser possível tomar as decisões corretas sobre o crédito cedido a clientes. O objetivo deste trabalho é compreender o quão importante é o risco de crédito para as instituições financeiras e apresentar uma forma de o medir associado com o crédito a empresas, analisando um modelo de score para avaliar que o mesmo seja avaliado. Este trabalho também descreve as atividades desenvolvidas nos princ

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42

Zhang, Xuan. "Essays in credit risk management." Thesis, University of Glasgow, 2017. http://theses.gla.ac.uk/7988/.

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Credit risk management is becoming more and more important in recent years. Credit risk refers to the risk that an obligor fails to make payments on any type of debt at the time of maturity. Credit risk models are statistical tools to infer the future default probabilities and loss distribution of values of a portfolio of debts. This doctoral thesis focus on the application of credit risk management in different areas. To better understand the credit risk management, in the first chapter, we introduce the basic ideas in credit risk management and review the models developed in the last decades

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43

Kolman, Marek. "Pricing and modeling credit risk." Doctoral thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-264720.

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The thesis covers a wide range of topics from the credit risk modeling with the emphasis put on pricing of the claims subject to the default risk. Starting with a separate general contingent claim pricing framework the key topics are classified into three fundamental parts: firm-value models, reduced-form models, portfolio problems, with a possible finer sub-classification. Every part provides a theoretical discussion, proposal of self-developed methodologies and related applications that are designed so as to be close to the real-world problems. The text also reveals several new findings from

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44

Akat, Muzaffer. "A unified credit risk model /." May be available electronically:, 2007. http://proquest.umi.com/login?COPT=REJTPTU1MTUmSU5UPTAmVkVSPTI=&clientId=12498.

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45

Tran, Cao Son. "Structures in credit risk modelling." Thesis, Queensland University of Technology, 2021. https://eprints.qut.edu.au/207989/1/Cao%20Son_Tran_Thesis.pdf.

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The thesis is concerned with the design of conceptual structures in credit risk modelling. The focus is on designing mathematical constructs that serve as a unified framework for reasoning about credit risk modelling. Three contributions are made to this area of research: category theory, providing a powerful tool to study the relations of common structures underlying credit risk modelling; stacking model, to address issues of inconsistent and biased performance measurement; and the Kelly criterion, shifting the focus from dichotomous classification to optimal credit risk allocation.

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46

Magnedal, Holmgren Andreas, and Victor Sellstedt. "Risk Free Credit: Estimating Risk of Debt Delinquency on Credit Cards : Using Machine Learning Methodology." Thesis, KTH, Skolan för elektroteknik och datavetenskap (EECS), 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-259747.

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A well functioning economy requires a stable credit market. Computational intelligence methods could provide a method to reduce the amount of uncertainty in the markets. This report examines four different methods for predicting the probability for defaults of credit card clients in Taiwan. The four selected methods were Linear Discriminant Analysis, Support Vector Machines, Artificial Neural Networks and Deep Neural Networks. The models were then evaluated with regards to five different methods: Area Under the Curve for the Receiver Operating Characteristic, accuracy, precision, sensitivity a

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47

Augustin, Patrick. "Essays on sovereign credit risk and credit default swap spreads." Doctoral thesis, Handelshögskolan i Stockholm, Institutionen för Finansiell ekonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-2131.

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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. New empirical evidence highlights that global macroeconomic risk unspanned by global financial risk bears some responsibility for the strong co-movement in sovereign spreads. A model with only two global macroeconomic state variables rationalizes the existence of time-varyin

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48

Ratta, Lucio della. "Credit spread, long memory and the pricing of credit risk." Thesis, City University London, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.434561.

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49

Sgambaro, Chiara <1992&gt. "Counterparty Credit Risk for OTC products and Credit Value Adjustment." Master's Degree Thesis, Università Ca' Foscari Venezia, 2017. http://hdl.handle.net/10579/11760.

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This thesis has the object to give a general overview of the Credit and Counterparty Risk and to evaluate how the factors linked to this risk influence the price of the OTC products. CCR comes from the probability at default of an institute that could potentially cause losses to its own creditors. The fundamental concept that is linked to this value of risk is called Exposure, concept that will be carefully presented and computed to a set of OTC products. There exist several measures that allow to quantify the amount of credit exposure during the life of a product. Measures as Expected Exposur

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50

Jarvis, Marilyn Adams. "Credit risk-rating system for agricultural leases." Thesis, This resource online, 1992. http://scholar.lib.vt.edu/theses/available/etd-12232009-020554/.

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