Add to ORKGThis thesis is focused on the estimation of expected loss for the consumer credit card portfolio. For the expected loss modelling we have developed in this thesis a model that satisfies conditions defined by New Basel accord (Basel II). The final model is therefore compound of the key credit risk components as they are identified by Basel II document and s separate model is built for each of them. These credit risk components are probability of default (PD), exposure at default (EAD) and loss given default (LGD). For the model development were used credit scoring techniques, especially classification tree method represented by CHAID algorithm. The empirical model then gives us an opportunity to test several hypotheses regarding the influenc...
The three papers in this thesis comprise the development of three types of Basel models – a Probabil...
Arguably, the credit risk models reported in the literature for the retail lending sector have so fa...
As a consequence from the recent global financial crisis, regulatory frameworks are continuously imp...
The purpose of this thesis is to determine and to better inform industry practitioners to the most a...
The Basel II accord regulates risk and capital management requirements to ensure that a bank holds e...
This thesis focuses on the key credit risk parameter - Loss Given Default (LGD). We describe its gen...
This thesis focuses on the key credit risk parameter - Loss Given Default (LGD). We describe its gen...
The significance of credit risk models has increased with the introduction of new Basel accord known...
This bachelor thesis discusses credit risk and its main rating parameters with detailed formulas and...
In this paper, we focus on modeling and predicting the loss distribution for credit risky assets suc...
In Section 10.3 we defined the loss variables as indicators of default events. A very common approac...
The master thesis deals with the advanced methods for estimating credit risk parameters from market ...
In Section 10.3 we defined the loss variables as indicators of default events. A very common approac...
Title: Statistical techniques for Loss Given Default Modeling Author: Veronika Betíková Department: ...
This paper focuses on a key credit risk parameter – Loss Given Default (LGD). Writers illustrate how...
The three papers in this thesis comprise the development of three types of Basel models – a Probabil...
Arguably, the credit risk models reported in the literature for the retail lending sector have so fa...
As a consequence from the recent global financial crisis, regulatory frameworks are continuously imp...
The purpose of this thesis is to determine and to better inform industry practitioners to the most a...
The Basel II accord regulates risk and capital management requirements to ensure that a bank holds e...
This thesis focuses on the key credit risk parameter - Loss Given Default (LGD). We describe its gen...
This thesis focuses on the key credit risk parameter - Loss Given Default (LGD). We describe its gen...
The significance of credit risk models has increased with the introduction of new Basel accord known...
This bachelor thesis discusses credit risk and its main rating parameters with detailed formulas and...
In this paper, we focus on modeling and predicting the loss distribution for credit risky assets suc...
In Section 10.3 we defined the loss variables as indicators of default events. A very common approac...
The master thesis deals with the advanced methods for estimating credit risk parameters from market ...
In Section 10.3 we defined the loss variables as indicators of default events. A very common approac...
Title: Statistical techniques for Loss Given Default Modeling Author: Veronika Betíková Department: ...
This paper focuses on a key credit risk parameter – Loss Given Default (LGD). Writers illustrate how...
The three papers in this thesis comprise the development of three types of Basel models – a Probabil...
Arguably, the credit risk models reported in the literature for the retail lending sector have so fa...
As a consequence from the recent global financial crisis, regulatory frameworks are continuously imp...