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http://hdl.handle.net/2445/193138
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DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Ortiz Gracia, Luis | - |
dc.contributor.author | Teji, Abhishek | - |
dc.date.accessioned | 2023-02-06T11:20:43Z | - |
dc.date.available | 2023-02-06T11:20:43Z | - |
dc.date.issued | 2023 | - |
dc.identifier.uri | http://hdl.handle.net/2445/193138 | - |
dc.description | Treballs Finals del Màster de Ciències Actuarials i Financeres, Facultat d'Economia i Empresa, Universitat de Barcelona, Curs: 2022-2023, Tutor: Dr. Luis Ortiz Gracia | ca |
dc.description.abstract | Given the Spanish housing and mortgage market, there is an important incentive for young property buyers to exceed the debt-to-income (DTI) ratio, using a loophole in the database, CIRBE. The objective of this paper is to analyze whether there could be a possibility of a loophole in the system and therefore how it could affect the calculation of regulatory capital for credit risk requirements. The main hypothesis is that if this practice is commonly used by the borrowers, then there could be a significant difference between the VaR calculated by the banks and the actual VaR needed to cover the regulatory capital. | ca |
dc.format.extent | 41 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | ca |
dc.rights | cc-by-nc-nd (c) Teji, 2023 | - |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | * |
dc.source | Màster Oficial - Ciències Actuarials i Financeres (CAF) | - |
dc.subject.classification | Valor (Economia) | cat |
dc.subject.classification | Risc de crèdit | cat |
dc.subject.classification | Variables (Matemàtica) | cat |
dc.subject.classification | Treballs de fi de màster | cat |
dc.subject.other | Value (Economics) | eng |
dc.subject.other | Credit risk | eng |
dc.subject.other | Variables (Mathematics) | eng |
dc.subject.other | Master's theses | eng |
dc.title | Regulatory capital for credit risk: Is there a loophole in the system? | ca |
dc.type | info:eu-repo/semantics/masterThesis | ca |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | ca |
Appears in Collections: | Màster Oficial - Ciències Actuarials i Financeres (CAF) |
Files in This Item:
File | Description | Size | Format | |
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TFM-CAF_Teji_2023.pdf | 718.33 kB | Adobe PDF | View/Open |
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