Search for dissertations about: "credit risk analysis"

Showing result 1 - 5 of 21 swedish dissertations containing the words credit risk analysis.

  2. 1. Feasible computation of generalized linear mixed models with application to credit risk modelling

    Author : Md. Moudud Alam; Göran Boström; Örebro universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Credit risk; cluster correlation; GLMM; large data; two-step pseudo likelihood estimation; defaults contagion; predictive likelihood; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; Statistics; Statistik; Statistics; Statistik; Complex Systems – Microdata Analysis;

    Abstract : This thesis deals with developing and testing feasible computational procedures to facilitate the estimation of and carry out the prediction with the generalized linear mixed model (GLMM) with a scope of applying them to large data sets. The work of this thesis is motivated from an issue arising incredit risk modelling. READ MORE

  4. 2. 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

  5. 3. Essays on Risk Attitudes in Sub-Saharan Africa

    Author : Mohammad H. Sepahvand; Ranjula Bali; Chuan-Zhong Li; Supriya Garikipati; Uppsala universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Risk attitudes; determinants of risk taking; test-retest reliability; gender; inter and multigenerational transmission; socialization; family background; sibling correlations; exogenous shock; revolution; gender differences; agriculture; productivity; Burkina Faso; Economics; Nationalekonomi; Economics; Nationalekonomi;

    Abstract : Essay I (submitted): Risk-taking is an important topic in Africa, as access to financial institutions and social security is scarce. Data on risk attitudes in Africa is limited and the available data collected might not be reliable. READ MORE

  6. 4. Four applications of stochastic processes : Contagious disease, credit risk, gambling and bond portfolios

    Author : Patrik Andersson; Andreas Nordvall Lagerås; Håkan Andersson; Stewart N. Ethier; Stockholms universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Stochastic processes; Mathematical statistics; Matematisk statistik; Mathematical Statistics; matematisk statistik;

    Abstract : This thesis consists of four papers on applications of stochastic processes. In Paper I we study an open population SIS (Susceptible - Infective - Susceptible) stochastic epidemic model from the time of introduction of the disease, through a possible outbreak and to extinction. The analysis uses coupling arguments and diffusion approximations. READ MORE

  7. 5. Changing the risk at the margin : Smallholder farming and public policy in developing countries

    Author : Camilla Andersson; Jesper Stage; Ing-Marie Gren; Umeå universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Smallholder farming; Public policy; Informal risk strategies; Microcredit; Opium eradication; Development economics; Food policy; Economics; Nationalekonomi; nationalekonomi; Economics;

    Abstract : This thesis consists of a summary and four self-contained papers. Paper [I] examines whether the implementation of a social safety net programme in Ethiopia has affected the value, risk and composition of farmers‟ crop portfolios. READ MORE