New approaches in the valuation of NPLs

Parrinello, Rachele (A.A. 2021/2022) New approaches in the valuation of NPLs. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Paolo Porchia, pp. 100. [Master's Degree Thesis]

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Some introductory remarks. Definition of non performing loans. NPLs in Italy. Impact of NPLs on financial intermidiaries. Methods and parameters for the valuation of NPLs. Forecast models based on judicial recovery. Forecasting models based on repaument flows or on company value. Statistical forecasting models. Credit valuation. Initial valuation and market values. Valuation criteria according to IFRS9. Securitisation. Analysis of the results deriving from the use of credit scoring models. Purpose of the thesis. Data cleaning and pre-processing. Machine leaning models.


Bibliografia: pp. 96-99.

Thesis Type: Master's Degree Thesis
Institution: Luiss Guido Carli
Degree Program: Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77)
Chair: Asset pricing
Thesis Supervisor: Porchia, Paolo
Thesis Co-Supervisor: Pirra, Marco
Academic Year: 2021/2022
Session: Summer
Deposited by: Alessandro Perfetti
Date Deposited: 16 Nov 2022 14:33
Last Modified: 16 Nov 2022 14:33


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