Tid: 25 juni 2013 kl 15.15-16.00.Seminarierummet 3721, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Laura Kremer
Titel: Assessment of a credit value-at-risk for corporate credits (Examensarbete - Master thesis)
In this thesis I describe the essential steps of developing a credit rating system.
This comprises the credit scoring process that assigns a credit score
to each credit, the forming of rating classes by the k-means algorithm and
the assignment of a probability of default (PD) for the rating classes. The
main focus is on the PD estimation for which two approaches are presented.
The first and simple approach in form of a calibration curve assumes independence
of the defaults of different corporate credits. The second approach
with mixture models is more realistic as it takes default dependence into
account. With these models we can use an estimate of a country's GDP to
calculate an estimate for the Value-at-Risk of some credit portfolio.
|Sidansvarig: Filip Lindskog