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Classification of Probability of Defaultand Rating Philosophies
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics. (Matematisk Statistik)
2012 (English)Independent thesis Advanced level (degree of Master (One Year)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

Basel II consists of international recommendations on banking regulations, mainly concerning how much capital banks and other financial 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 define which of them affect 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.

Place, publisher, year, edition, pages
2012. , 38 p.
TRITA-MAT-E, 2012:12
National Category
Probability Theory and Statistics
URN: urn:nbn:se:kth:diva-105903OAI: diva2:575902
Subject / course
Mathematical Statistics
Educational program
Master of Science in Engineering -Engineering Physics
Physics, Chemistry, Mathematics
Available from: 2012-12-04 Created: 2012-11-28 Last updated: 2012-12-11

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