Browsing NTNU Open by Author "Osmundsen, Kjartan Kloster"
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Credit Risk Modelling with Expected Shortfall - A Simulation-based Portfolio Analysis
Osmundsen, Kjartan Kloster (Master thesis, 2016)The Basel Committee's minimum capital requirement function for banks' credit risk is based on a risk measure called Value at Risk (VaR). This thesis performs a statistical and economic analysis of the consequences of ...