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About Hultin ArnljotsThesis
This master's thesis explores methods to mitigate procyclicality in minimum capital requirement calculations according to Basel regulations. It constructs a portfolio replicating the Swedish corporate lending market using probability of default data for 90 companies from 2005-2013. Four options are tested: 1) adjusting input data with logistic regression, 2) adjusting equations with time-varying confidence levels, 3) adjusting output with a business cycle multiplier, and 4) adjusting output with an autoregressive filter. Evaluation shows adjusting input with logistic regression and output with a business cycle multiplier best reduce procyclicality according to their lower root-mean-square deviations from an unadjusted benchmark series.
Detailed Information
| Author: | ['gonzalesmartinez'] |
|---|---|
| Publication Year: | 2016 |
| Pages: | 83 |
| Language: | English |
| Format: | |
| Price: | FREE |
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