No description available.

The master thesis deals with the advanced methods for estimating credit risk parameters from market prices: probability of default (PD) and loss given default (LGD). Precise evaluation of these parameters is important not only for banks to calculate their regulatory capital but also for investors to price risky bonds and credit derivatives. We provide forward looking reduced-form analytical method for calculation of PD and LGD of corporate defaultable bonds based on their quoted market prices, prices of equivalent risk-free bonds and quoted credit default swap spreads of the issuer of these bonds. This is reversed to most of the studies on credit risk modeling, as aim is not to price instruments based on estimated credit risk parameters, but to calculate these parameters based on the available market prices. Furthermore, compared to other studies, the LGD parameter is assumed to be endogenous and we provide the method for its simultaneous calculation with the probability of default. Finally, using developed methods, we estimate implied PD and LGD for five European banks assuming that the risk is priced correctly by other investors and the markets are efficient. JEL Classification: C02, C63, G13, G33 Keywords: credit risk, loss given default, probability of default, credit default swap Author's...

The Basel Accord regulates risk and capital requirements to ensure that a bank holds capital proportional to the exposed risk of its lending practices. Basel II allows banks to develop their own empirical models based on historical data for probability of default (PD), loss given default (LGD) and exposure at default (EAD). Brazil was among the first emerging market countries to release a timetable for the implementation of the Basel II Accord and aimed to apply it uniformly to all Brazilian financial institutions from 2005 to 2011. Within this context, the necessity arises of conducting research that could assist the financial institutions in improving the accuracy of their models. This thesis has three objectives. The first is to develop a macro-economic model to predict the behaviour of the aggregate delinquency in Brazilian consumer loans. The model consists in testing co-integrating relationships and then estimating a short run error correction model. The results based on monthly data from 2000 to 2012 show that the delinquency rate is particularly sensitive to shocks on GDP and to the variation of workers' income. The analysis then shifts to micro or account level to model the behaviour of borrowers and certain novel types of information that can be used for prediction. Second, customers fail to make loan repayments for a number of reasons, ranging from simple forgetfulness to deliberate attempts. For this reason, the second objective is to investigate the reasons for default and to explore ways of incorporating these variables into Recovery Rate (RR = 1 - LGD) models, since the standard approach overlooks real reasons for default and uses proxies for them such as marital status and length of employment. Customers who failed to repay their loans were interviewed in order to discover the causes for this failure. In addition, the interviews included questions aimed to measure the customer's personality traits and their financial knowledge in relation to the reasons for default. The empirical results show that the variables proposed in this study, namely, reason for missing payment, financial knowledge and risk taken, improve the prediction of the recovery rate. Thirdly, it is known that recovery depends on the debt collection process and on the different options or actions that collection departments can take. Yet there is practically no literature exploring the impact of the lender's collection actions on RR/LGD. This work fills this gap by investigating the role of different collection actions at the loan-level for a retail credit product, and by estimating LGD models using Panel Data regressions.

Loss given default (LGD) modelling has become increasingly important for banks as they are required to comply with the Basel Accords for their internal computations of economic capital. Banks and financial institutions are encouraged to develop separate models for different types of products. In this thesis we apply and improve several new algorithms including support vector machine (SVM) techniques and mixed effects models to predict LGD for both corporate bonds and retail loans. SVM techniques are known to be powerful for classification problems and have been successfully applied to credit scoring and rating business. We improve the support vector regression models by modifying the SVR model to account for heterogeneity of bond seniorities to increase the predictive accuracy of LGD. We find the proposed improved versions of support vector regression techniques outperform other methods significantly at the aggregated level, and the support vector regression methods demonstrate significantly better predictive abilities compared with the other statistical models at the segmented level. To further investigate the impacts of unobservable firm heterogeneity on modelling recovery rates of corporate bonds a mixed effects model is considered, and we find that an obligor-varying linear factor model presents significant improvements in explaining the variations of recovery rates with a remarkably high intra-class correlation being observed. Our study emphasizes that the inclusion of an obligor-varying random effect term has effectively explained the unobservable firm level information shared by instruments of the same issuer. At last we incorporate the SVM techniques into a two-stage modelling framework to predict recovery rates of credit cards. The two-stage model with a support vector machine classifier is found to be advantageous on an out-of-time sample compared with other methods, suggesting that an SVM model is preferred to a logistic regression at the classification stage. We suggest that the choice of regression models is less influential in prediction of recovery rates than the choice of classification methods in the first step of two-stage models based on the empirical evidence. The risk weighted assets of financial institutions are determined by the estimates of LGD together with PD and EAD. A robust and accurate LGD model impacts banks when making business decisions including setting credit risk strategies and pricing credit products. The regulatory capital determined by the expected and unexpected losses is also important to the financial market stability which should be carefully examined by the regulators. In summary this research highlights the importance of LGD models and provides a new perspective for practitioners and regulators to manage credit risk quantitatively.

The theoretical part of this work deals with the term of given name, its function and position in the Czech language system. Additionally, motivations that can play any role in naming of children are summarized. The practical part is focused on motivations applied in naming of children in Ústí nad Orlicí district at two groups of parental population. In the first group there are parents whose children were born in the period of 1960-1975 and the second group is formed by parents with children born in 2000-2012. The data from the parents were gathered using questionnaires. These two groups are compared from various points of view - used names, linguistics factors (length, sound aspects of names, relation of the given name to the family name, hypocoristics etc.) and other factors (family tradition, religion, education etc.). Also differences in the approach to male and female names are followed.

Em busca da adequação aos requisitos apresentados pelo Acordo de Basiléia, as instituições financeiras estão despendendo esforços para o desenvolvimento de mensurações e processos. Neste contexto se insere o desenvolvimento de modelos quantitativos para às organizações que pretendem se candidatar à abordagem avançada. O problema de pesquisa propõe mensurar o parâmetro de perda de crédito, ou loss given default, em situações em que não existam eventos de inadimplência observados. A literatura a respeito indica a utilização de modelos estruturais para estes cenários: o modelo proposto por Merton (1974) ou suas derivações são largamente empregados na determinação da probabilidade de perdas (probability of default - em inglês) e perdas de credito (loss given default - em inglês). Nesta metodologia a solução é encontrada de maneira implícita, por meio de preços de títulos e ações. Este trabalho aplica o modelo de Merton e verifica implicações deste uso para o calculo da perda de credito, neutra ao risco e implícita, em empresas listadas na Bolsa de Valores de São Paulo (Bovespa). O público foi selecionado no período de dezembro de 2006 a junho de 2013 e, informações como preço e quantidade de ações e valor da dívida contábil foram coletadas. Os principais resultados encontrados, de modo similar a de outros autores, mostram que: (i) a perda de crédito é maior em momentos de instabilidade financeira, como observado em 2008, época em que os preços dos ativos possuíram alta volatilidade, (ii) o maturity, ou duration, utilizado possui grande peso nos valores de perda de crédito: maturity maior, recuperação menor e (iii) quanto maior o peso da dívida contábil no valor da empresa, menor a volatilidade da própria. / In an effort to comply with the Basel Agreement requirements, financial institutions have engaged in developing their own measures and processes. Within that context, quantitative models are being developed for organizations seeking an advanced approach. The research-related problem aims to estimate the credit loss parameter, loss given default, in situations where events of default are not observed. Literature in that respect indicates the utilization of structural models in such scenarios: the model proposed by Merton (1974) or its derivations are widely employed in determining the probability of default and loss given default. In this methodology the solution is found in an implied manner through the price of bonds and equities. This work applies the Merton model and verifies the implications of its use in calculating loss given default, risk neutral and implicit, in companies listed on the São Paulo Stock Exchange (Bovespa). The target populations in the period from December 2006 to June 2013 and such data as stock price, number of outstanding shares and debt book value have been collected. The main results found, in a manner very similar to other authors, demonstrate that: (i) the loss given default is greater at moments of financial instability, as observed in 2008, a time at which asset prices showed high volatility, (ii) the maturity, or duration, has a great influence on loss given default: higher the maturity, lower the recovery, and as well (iii) higher the book´s value debt weight on firm value, the lower is the firm´s value volatility.

Em busca da adequação aos requisitos apresentados pelo Acordo de Basiléia, as instituições financeiras estão despendendo esforços para o desenvolvimento de mensurações e processos. Neste contexto se insere o desenvolvimento de modelos quantitativos para às organizações que pretendem se candidatar à abordagem avançada. O problema de pesquisa propõe mensurar o parâmetro de perda de crédito, ou loss given default, em situações em que não existam eventos de inadimplência observados. A literatura a respeito indica a utilização de modelos estruturais para estes cenários: o modelo proposto por Merton (1974) ou suas derivações são largamente empregados na determinação da probabilidade de perdas (probability of default - em inglês) e perdas de credito (loss given default - em inglês). Nesta metodologia a solução é encontrada de maneira implícita, por meio de preços de títulos e ações. Este trabalho aplica o modelo de Merton e verifica implicações deste uso para o calculo da perda de credito, neutra ao risco e implícita, em empresas listadas na Bolsa de Valores de São Paulo (Bovespa). O público foi selecionado no período de dezembro de 2006 a junho de 2013 e, informações como preço e quantidade de ações e valor da dívida contábil foram coletadas. Os principais resultados encontrados, de modo similar a de outros autores, mostram que: (i) a perda de crédito é maior em momentos de instabilidade financeira, como observado em 2008, época em que os preços dos ativos possuíram alta volatilidade, (ii) o maturity, ou duration, utilizado possui grande peso nos valores de perda de crédito: maturity maior, recuperação menor e (iii) quanto maior o peso da dívida contábil no valor da empresa, menor a volatilidade da própria. / In an effort to comply with the Basel Agreement requirements, financial institutions have engaged in developing their own measures and processes. Within that context, quantitative models are being developed for organizations seeking an advanced approach. The research-related problem aims to estimate the credit loss parameter, loss given default, in situations where events of default are not observed. Literature in that respect indicates the utilization of structural models in such scenarios: the model proposed by Merton (1974) or its derivations are widely employed in determining the probability of default and loss given default. In this methodology the solution is found in an implied manner through the price of bonds and equities. This work applies the Merton model and verifies the implications of its use in calculating loss given default, risk neutral and implicit, in companies listed on the São Paulo Stock Exchange (Bovespa). The target populations in the period from December 2006 to June 2013 and such data as stock price, number of outstanding shares and debt book value have been collected. The main results found, in a manner very similar to other authors, demonstrate that: (i) the loss given default is greater at moments of financial instability, as observed in 2008, a time at which asset prices showed high volatility, (ii) the maturity, or duration, has a great influence on loss given default: higher the maturity, lower the recovery, and as well (iii) higher the book´s value debt weight on firm value, the lower is the firm´s value volatility.

Studiens syfte är att skapa en ökad förståelse om hur svenska förskolebarn i åldrarna fyra och fem år interagerar med och uppfattar de olika artefakterna på sin utegård. Med artefakter menas de fysiska redskap som finns på förskolans utegård. Vi har valt att inrikta oss på om barnen leker enskilt eller tillsammans med andra, om de leker utifrån given funktion eller skapad funktion samt hur de ser på artefakter med hänsyn till estetiska omdömen. Vi har använt oss av metoden the Mosaic approach som lyfter fram barns perspektiv. I vår studie har barn fotograferat utegården. Tio barn intervjuades om utegården där barnens fotografier användes för att samtala om och barnen fick sedan guida oss runt på utegården. I resultatet visade det sig att när barnen samtalade om bilderna kom de fram till många olika användningsområden och åsikter kring artefakterna. Under guidningar fick vi se hur fyra barn interagerade med artefakterna och vi fick även en omfattande bild av utegården. Det visade sig att barnen använde sand ihop med artefakterna, vilket kan bero på att sand är lättillgängligt och enkelt att förflytta. Det visade sig även att barn tänker på sin säkerhet eftersom barnen visade en oro att ramla ner från artefakter som var högt placerade. Vår slutsats är att utegården erbjuder enskildhet och lek tillsammans med andra samt att barnen använder givna och skapade funktioner tillsammans med artefakterna. Studiens resultat visar att artefakterna skapar en trivsam utegård, vilket visar sig när barnen gärna samtalar om och visar de olika artefakterna. / The study's purpose is to create a better understanding of how Swedish preschool children aged four to five years interact with and perceive the various artifacts on their patio. With artifacts means the physical tools that are on the preschool’s patio. We have chosen to focus on if the children play alone or with others, if they play by the given function or created function, and how they see the artifacts considering aesthetic judgments. We have used the method of the Mosaic approach that emphasizes the child's perspective. In our study have the children photographed the patio. Ten children were interviewed about the patio where the children's photographs were used to discuss. Four children guided us around the patio. The results showed that when the children talked about the pictures they came up with many different uses and opinions about the artifacts. During guided tours, we saw how four children interacted with the artifacts and we even got a comprehensive image of the patio. It turned out that the children used the sand together with the artifacts, which may be due to the sand is easily accessible and easy to move. It was also found that children think about their safety because the children showed a concern of falling from the artifacts that were highly placed. Our conclusion is that the patio offers privacy and play together with other children, and to use the given and created functions together with the artifacts. The results of the study show that the artifacts create a pleasant patio, which appears when the children gladly talk about and show the different artifacts.

Bakgrund: Primärvården står inför en utmaning vad gäller att behålla erfarna och attrahera nya medarbetare för att kunna tillgodose behovet av god och nära vård. För att uppnå detta behövs hållbara arbetsförhållanden och möjligheten för sjuksköterskor och distriktssköterskor att ge vård med god kvalitet. Syfte: Att kartlägga och jämföra skattningen av organisatorisk och social arbetsmiljö bland sjuksköterskor och distriktssköterskor i primärvård samt jämföra dessa resultat gentemot svenska referensvärden. Vidare syftade studien till att kartlägga och jämföra om det finns någon skillnad i tillfredsställelse med given vård mellan sjuksköterskor och distriktssköterskor. Metod: Deskriptiv och komparativ design med kvantitativ ansats. Enkäter skickades till totalt 170 sjuksköterskor inom primärvård. Huvudresultat: I studien framkom att deltagarna skattade statistiskt signifikant högre känslomässiga krav jämfört med svenska referensvärdet. Distriktssköterskorna skattade också ett statistiskt signifikant högre arbetstempo. Vid jämförelse mellan sjuksköterskor och distriktssköterskor framkom en statistiskt signifikant högre skattning av känslomässiga krav hos distriktssköterskorna.Deltagarna skattade högre nivåer av utvecklingsmöjligheter, mening i arbetet och socialt stöd från kollegor jämfört med svenska referensvärden. Sjuksköterskor och distriktssköterskor skattade sin tillfredsställelse med given vård likvärdigt. Slutsats: Arbetet som sjuksköterska eller distriktssköterska inom primärvården innebar en arbetsmiljö med hög förekomst av känslomässiga krav. Nivån av känslomässiga krav var högre hos distriktssköterskorna. Sjuksköterskor och distriktssköterskor hade god tillgång till utvecklingsmöjligheter, mening i arbetet och socialt stöd från kollegor. Det framkom ingen skillnad i skattningen vad gäller tillfredsställelse med given vård. Genom utgångspunkt i de faktorer som identifierats kan en riktning för framtida arbetsmiljöarbete skapas. / Introduction: Primary care is facing a challenge of retaining experienced and attracting new employees in order to give good and close care. To achieve this, sustainable working conditions and the possibility for nurses and district nurses to provide good quality care are needed. Aim: To identify and compare the assessment of organizational and social work environment among nurses and district nurses in primary care and compare these results ​​against Swedish benchmarks. To identify and compare whether there is any difference in satisfaction with given care between nurses and district nurses. Method: Descriptive and comparative design with a quantitative approach. Questionnaires were sent to 170 nurses in primary care. Result: The participants estimated statistical significantly higher emotional demands compared to Swedish benchmarks. The district nurses also estimated a higher work pace. When comparing the groups, a statistical significantly higher estimate of the emotional demand of the district nurses emerged. The participants estimated statistical significantly higher levels of development opportunities, meaning in work and social support from colleagues compared to Swedish benchmarks. The participants rated their satisfaction with given care equally. Conclusion: Nurses or district nurses in primary care have a work environment with a high incidence of emotional demands. The level of emotional demands was higher among the district nurses. Both groups had good access to development opportunities, meaning in work and social support from colleagues. There was no difference in satisfaction with given care. These findings can give a direction for future development of the work environment.

In Sweden, all banks must report their regulatory capital in their reports to the market and their models for calculating this capital must be approved by the financial authority, Finansinspektionen. The regulatory capital is the capital that a bank has to hold as a security for credit risk and this capital should serve as a buffer if they would loose unexpected amounts of money in their lending business. Loss-Given-Default (LGD) is one of the main drivers of the regulatory capital and the minimum required capital is highly sensitive to the reported LGD. Workout LGD is based on the discounted future cash flows obtained from defaulted customers. The main issue with workout LGD is the incomplete workouts, which in turn results in two problems for banks when they calculate their workout LGD. A bank either has to wait for the workout period to end, in which some cases take several years, or to exclude or make rough assumptions about those incomplete workouts in their calculations. In this study the idea from Survival analysis (SA) methods has been used to solve these problems. The mostly used SA model, the Cox proportional hazards model (Cox model), has been applied to investigate the effect of covariates on the length of survival for a monetary unit. The considered covariates are Country of booking, Secured/Unsecured, Collateral code, Loan-To-Value, Industry code, Exposure-At- Default and Multi-collateral. The data sample was first split into 80 % training sample and 20 % test sample. The applied Cox model was based on the training sample and then validated with the test sample through interpretation of the Kaplan-Meier survival curves for risk groups created from the prognostic index (PI). The results show that the model correctly rank the expected LGD for new customers but is not always able to distinguish the difference between risk groups. With the results presented in the study, Nordea can get an expected LGD for newly defaulted customers, given the customers’ information on the considered covariates in this study. They can also get a clear picture of what factors that drive a low respectively high LGD. / I Sverige måste alla banker rapportera sitt lagstadgade kapital i deras rapporter till marknaden och modellerna för att beräkna detta kapital måste vara godkända av den finansiella myndigheten, Finansinspektionen. Det lagstadgade kapitalet är det kapital som en bank måste hålla som en säkerhet för kreditrisk och den agerar som en buffert om banken skulle förlora oväntade summor pengar i deras utlåningsverksamhet. Loss- Given-Default (LGD) är en av de främsta faktorerna i det lagstadgade kapitalet och kravet på det minimala kapitalet är mycket känsligt för det rapporterade LGD. Workout LGD är baserat på diskonteringen av framtida kassaflöden från kunder som gått i default. Det huvudsakliga problemet med workout LGD är ofullständiga workouts, vilket i sin tur resulterar i två problem för banker när de ska beräkna workout LGD. Banken måste antingen vänta på att workout-perioden ska ta slut, vilket i vissa fall kan ta upp till flera år, eller så får banken exkludera eller göra grova antaganden om dessa ofullständiga workouts i sina beräkningar. I den här studien har idén från Survival analysis (SA) metoder använts för att lösa dessa problem. Den mest använda SA modellen, Cox proportional hazards model (Cox model), har applicerats för att undersöka effekten av kovariat på livslängden hos en monetär enhet. De undersökta kovariaten var Land, Säkrat/Osäkrat, Kollateral-kod, Loan-To-Value, Industri-kod Exposure-At-Default och Multipla-kollateral. Dataurvalet uppdelades först i 80 % träningsurval och 20 % testurval. Den applicerade Cox modellen baserades på träningsurvalet och validerades på testurvalet genom tolkning av Kaplan-Meier överlevnadskurvor för riskgrupperna skapade från prognosindexet (PI). Med de presenterade resultaten kan Nordea beräkna ett förväntat LGD för nya kunder i default, givet informationen i den här studiens undersökta kovariat. Nordea kan också få en klar bild över vilka faktorer som driver ett lågt respektive högt LGD.