Credit Risk and Asset Correlation Modelling for the Swedish Market: A Comparative Analysis
In order to ensure solvency, financial institutions must evaluate their credit risk exposure and determine how much economic capital is required to hold as a cushion. This thesis compares three factor models, namely Asymptotic Single Risk Factor (“ASRF”), Inter-sector and Intra-sector factor models...
| Main Authors: | , |
|---|---|
| Format: | Others |
| Language: | English |
| Published: |
KTH, Matematisk statistik
2019
|
| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-252315 |