Search for dissertations about: "Credit Risk Management"

Showing result 1 - 5 of 14 swedish dissertations containing the words Credit Risk Management.

2. 1. Abandoning Silos for Integration: Implementing Enterprise Risk Management and Risk Governance

   Author : Sara Lundqvist; Företagsekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Enterprise risk management; holistic risk management; risk management; risk governance; corporate governance; credit risk; credit ratings; credit default swap spreads;

   Abstract : Firms began to abandon the “silo” approach to risk management for more integration in the risk management system. Enterprise risk management (ERM) emerged as a framework for the management of integrated risks in a strategy setting supported by risk governance. READ MORE

4. 2. Optimization-Based Models for Measuring and Hedging Risk in Fixed Income Markets

   Author : Johan Hagenbjörk; Jörgen Blomvall; Ou Tang; Giorgio Consigli; Linköpings universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Finance; Fixed income; Interest rate risk; Credit risk; Risk management; Optimization; Mathematics;

   Abstract : The global fixed income market is an enormous financial market whose value by far exceeds that of the public stock markets. The interbank market consists of interest rate derivatives, whose primary purpose is to manage interest rate risk. READ MORE

5. 3. Pricing Portfolio Credit Derivatives

   Author : Alexander Herbertsson; Göteborgs universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Portfolio credit risk; intensity-based models; dynamic dependence modelling; default contagion; CDS; synthetic CDO tranches; index CDS; k-th-to-default swaps; CDS-correlation; default-correlation; Markov jump processes; multivariate phase-type distributions; matrix-analytic methods;

   Abstract : This thesis consists of four papers on dynamic dependence modelling in portfolio credit risk. The emphasis is on valuation of portfolio credit derivatives. The underlying model in all papers is the same, but is split in two different sub-models, one for inhomogeneous portfolios, and one for homogeneous ones. READ MORE

6. 4. Essays on Financial Risks and Derivatives with Applications to Electricity Markets and Credit Markets

   Author : Rikard Green; Nationalekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Markov Chain Monte Carlo; Jump Diffusion Process; Stochastic Volatility; VaR; Electricity Markets; Market Risk; Forward Curve; Credit Risk; Currency Effects;

   Abstract : Contracts traded on international financial and commodity markets are associated with complex risk structures. In this dissertation we are concerned with two specific types of risks; market risks and credit risks. The first chapter investigates market risks in the context of the Nordic electricity market. READ MORE

7. 5. Credit Risk Management Policy and Strategies in a Commercial Bank in Tanzania

   Author : Evelyn Richard; Umeå universitet; []
   Keywords : ;

   Abstract : .... READ MORE