Credit risk modelling in French banking industry

Bacciarelli, Emanuele (A.A. 2020/2021) Credit risk modelling in French banking industry. Tesi di Laurea in Risk management and compliance, Luiss Guido Carli, relatore Giancarlo Mazzoni, pp. 86. [Master's Degree Thesis]

Full text for this thesis not available from the repository.


Expected default frequency model. Model framework. Market asset value. Default point. Asset volatility. Distance to default. Mapping distance to default to EDF. The transformed data maximum likelihood estimation model. Maximum likelihood estimation. MKMV and transformed data MLE set side by side. Why choose the MKMV model? Peer analysis of the 3 biggest French banks. Credit agricole SA.

Thesis Type: Master's Degree Thesis
Institution: Luiss Guido Carli
Degree Program: Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56)
Chair: Risk management and compliance
Thesis Supervisor: Mazzoni, Giancarlo
Thesis Co-Supervisor: Curcio, Domenico
Academic Year: 2020/2021
Session: Extraordinary
Deposited by: Alessandro Perfetti
Date Deposited: 07 Sep 2022 14:18
Last Modified: 07 Sep 2022 14:18


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