The purpose of the thesis is to find a method to estimate the amount of money that a financial institution, such as an Insurance company or a Bank, must push aside in order to face the possibility that a counterparty defaults. In other word, we want to compute the expected loss under the European Regulation IFRS 9. The proposed model is based on Merton model.
Modello di Merton applicato a IFRS 9
TIMO, FABRIZIO
2016/2017
Abstract
The purpose of the thesis is to find a method to estimate the amount of money that a financial institution, such as an Insurance company or a Bank, must push aside in order to face the possibility that a counterparty defaults. In other word, we want to compute the expected loss under the European Regulation IFRS 9. The proposed model is based on Merton model.File in questo prodotto:
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Utilizza questo identificativo per citare o creare un link a questo documento:
https://hdl.handle.net/20.500.14240/89959