Samhallsvetarhuset, Plan 2
Umeå, SE 901 87
University of Umea
Risk based capital assessment, capital planning, credit risk capital
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infinity Laplace, nonlinear parabolic partial differential equation, option pricing, stochastic differential game, tug‐of‐war
Scenario based analysis, stress testing
credit risk, credit models, credit pricing
Operational risk, Loss distribution approach
Portfolio credit risk, large credit portfolios, credit risk model framework, credit risk economic capital, credit loss projections
Univariate time series, extreme value theory, EVT, value-at-risk, VAR, Monte Carlo, t-distribution
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