Tid: 3 december 2012 kl 15.15-16.00.Seminarierummet 3721, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Persa Gobelić
Titel: Classification of Probability of Default and Rating Philosophies (Examensarbete - Master thesis)
Abstract Basel II consists of international recommendations on banking regulations, mainly con- cerning how much capital banks and other nancial institutions should be made to set aside in order to protect themselves from various types of risks. Implementing Basel II involves estimating risks; one of the main measurements is Probability of Default. Firm specific and macroeconomic risks cause obligors to default. Separating the two risk factors in order to dene which of them aect the Probability of Default through the years. The aim of this thesis is to enable a separation of the risk variables in the structure of Probability of Default in order to classify the rating philosophy.
|Sidansvarig: Filip Lindskog