Los impagos de particulares fueron una de las causas de la última crisis financiera dando
lugar a una necesidad de comprender todo lo relacionado con el riesgo de crédito de los …

Since the introduction of the advanced internal rating based approach through the Basel
framework, financial institutions and regulators have been dealing with the increased …

Systematic risk has been a focus for stress testing and risk capital assessment. Under the
Vasicek asymptotic single risk factor model framework, entity default risk for a risk …

Since the outbreak of Covid-19 and the central bank and government interventions that
followed, new challenges in credit modeling have emerged. Relations between credit risk …

Credit risk measures are often described as being either point-in-time (PIT), through-the-
cycle (TTC) or a hybrid thereof. Nevertheless, it is generally accepted that there is no …

Abstract [eng] The purpose of this thesis is to investigate the impact of non-normally
distributed components on the estimation of the through-the-cycle probability of default (TTC …

With the implementation of IFRS 9, a new set of impairment rules will be effective as of 1st
January 2018. We analyse alternative models for probability of default (PD) estimation that …

Los impagos de particulares fueron una de las causas de la última crisis financiera dando
lugar a una necesidad de comprender todo lo relacionado con el riesgo de crédito de los …

Abstract [eng] The topic of this master's thesis is' Systemic and Individual Risk Factors Model
for Low Default Portfolios.'The thesis presents general principles for assessing the …