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dc.contributor.advisorNovotný, Josef
dc.contributor.authorWang, Xinran
dc.date.accessioned2018-06-26T08:01:46Z
dc.date.available2018-06-26T08:01:46Z
dc.date.issued2018
dc.identifier.otherOSD002
dc.identifier.urihttp://hdl.handle.net/10084/127572
dc.description.abstractFor managers, it is important to manage the risk in banks. Risk management include identify and prioritization of risks, then adjust the risks to make it minimize. The aim of risk management is to assure uncertainty does not influence the company’s business goal. It has many kinds of risks, but the most important risk is credit risk. The aim of this thesis is to determine the capital requirement for unexpected losses from credit risk of the portfolio under Basel agreement include Basel I, II, III and use CreditMetricTM model to determine the economic capital of the portfolio. There are three main chapter in this thesis, in chapter two and chapter three were both theory part. In chapter two was the description of the financial risk. It was include credit risk, market risk, liquidity risk, operational risk and other risks. In chapter three was the introduction of some models that can use to calculate credit risk, the main model is CreditMetricTM model and Basel agreement. Chapter four was the most important chapter, it was the calculation part in this thesis, we find ten bonds that trade on Frankfurt stock exchange with the nominal value of each bonds is 10 million euro. The capital requirement under the risk from unexpected loss, standard approach and foundation internal rating-based approach include in Basel agreement can be used. The economic capital of ten bonds portfolio was calculate by CreditMetricTM model. All the companies and individual need to have risk management as a planning, under risk management the unexpected loss can be prepared before the accident, make the loss and cost in the minimum value, all the management and how important it is we have been shown in this thesis.en
dc.description.abstractFor managers, it is important to manage the risk in banks. Risk management include identify and prioritization of risks, then adjust the risks to make it minimize. The aim of risk management is to assure uncertainty does not influence the company’s business goal. It has many kinds of risks, but the most important risk is credit risk. The aim of this thesis is to determine the capital requirement for unexpected losses from credit risk of the portfolio under Basel agreement include Basel I, II, III and use CreditMetricTM model to determine the economic capital of the portfolio. There are three main chapter in this thesis, in chapter two and chapter three were both theory part. In chapter two was the description of the financial risk. It was include credit risk, market risk, liquidity risk, operational risk and other risks. In chapter three was the introduction of some models that can use to calculate credit risk, the main model is CreditMetricTM model and Basel agreement. Chapter four was the most important chapter, it was the calculation part in this thesis, we find ten bonds that trade on Frankfurt stock exchange with the nominal value of each bonds is 10 million euro. The capital requirement under the risk from unexpected loss, standard approach and foundation internal rating-based approach include in Basel agreement can be used. The economic capital of ten bonds portfolio was calculate by CreditMetricTM model. All the companies and individual need to have risk management as a planning, under risk management the unexpected loss can be prepared before the accident, make the loss and cost in the minimum value, all the management and how important it is we have been shown in this thesis.cs
dc.format.extent2218902 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoen
dc.publisherVysoká škola báňská - Technická univerzita Ostravacs
dc.subjectfinancial risken
dc.subjectcredit risken
dc.subjectrisk managementen
dc.subjectmarket risken
dc.subjectoperational risken
dc.subjectliquidity risken
dc.subjectmodelen
dc.subjectrating systemen
dc.subjectportfolioen
dc.subjectbondsen
dc.subjectCreditMetricTMen
dc.subjectBasel agreementen
dc.subjectvalueen
dc.subjectcalculationen
dc.subjectcapital requirementen
dc.subjecteconomic capitalen
dc.subjectfinancial riskcs
dc.subjectcredit riskcs
dc.subjectrisk managementcs
dc.subjectmarket riskcs
dc.subjectoperational riskcs
dc.subjectliquidity riskcs
dc.subjectmodelcs
dc.subjectrating systemcs
dc.subjectportfoliocs
dc.subjectbondscs
dc.subjectCreditMetricTMcs
dc.subjectBasel agreementcs
dc.subjectvaluecs
dc.subjectcalculationcs
dc.subjectcapital requirementcs
dc.subjecteconomic capitalcs
dc.titleDetermination of Credit Risk for Debt Assets Portfolioen
dc.title.alternativeDeterminace kreditního rizika u portfolia dluhových aktivcs
dc.typeDiplomová prácecs
dc.contributor.refereeNovotná, Martina
dc.date.accepted2018-05-30
dc.thesis.degree-nameIng.
dc.thesis.degree-levelMagisterský studijní programcs
dc.thesis.degree-grantorVysoká škola báňská - Technická univerzita Ostrava. Ekonomická fakultacs
dc.description.department154 - Katedra financícs
dc.thesis.degree-programHospodářská politika a správacs
dc.thesis.degree-branchFinancecs
dc.description.resultvelmi dobřecs
dc.identifier.senderS2751
dc.identifier.thesisWAN0030_EKF_N6202_6202T010_2018
dc.rights.accessopenAccess


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