| dc.contributor.advisor | Novotný, Josef | |
| dc.contributor.author | Tian, Yuan | |
| dc.date.accessioned | 2016-11-01T13:24:05Z | |
| dc.date.available | 2016-11-01T13:24:05Z | |
| dc.date.issued | 2016 | |
| dc.identifier.other | OSD002 | cs |
| dc.identifier.uri | http://hdl.handle.net/10084/113578 | |
| dc.description | Import 02/11/2016 | cs |
| dc.description.abstract | There are several categories of risks in the banking sector, but the most important risk is credit risk. The main objective of this thesis is to determine and then compare the value of regulatory capital requirement for unexpected losses from credit risk of ten debt assets portfolio under Basel agreements, including Basel I, Basel II, and Basel III, and the value of economic capital by using the CreditMetrics™ model. | en |
| dc.description.abstract | There are several categories of risks in the banking sector, but the most important risk is credit risk. The main objective of this thesis is to determine and then compare the value of regulatory capital requirement for unexpected losses from credit risk of ten debt assets portfolio under Basel agreements, including Basel I, Basel II, and Basel III, and the value of economic capital by using the CreditMetrics™ model. | cs |
| dc.format.extent | 2223557 bytes | |
| dc.format.mimetype | application/pdf | |
| dc.language.iso | en | |
| dc.publisher | Vysoká škola báňská - Technická univerzita Ostrava | cs |
| dc.subject | Credit risk, risk management and models, CreditMetrics, Basel I, Basel II, Basel III, value of the portfolio, calculation of credit risk | en |
| dc.subject | Credit risk, risk management and models, CreditMetrics, Basel I, Basel II, Basel III, value of the portfolio, calculation of credit risk | cs |
| dc.title | Determination of Credit Risk for Debt Assets Portfolio | en |
| dc.title.alternative | Determinace kreditního rizika u portfolia dluhových aktiv | cs |
| dc.type | Diplomová práce | cs |
| dc.contributor.referee | Melecký, Aleš | |
| dc.date.accepted | 2016-05-24 | |
| dc.thesis.degree-name | Ing. | |
| dc.thesis.degree-level | Magisterský studijní program | cs |
| dc.thesis.degree-grantor | Vysoká škola báňská - Technická univerzita Ostrava. Ekonomická fakulta | cs |
| dc.description.department | 154 - Katedra financí | |
| dc.thesis.degree-program | Hospodářská politika a správa | cs |
| dc.thesis.degree-branch | Finance | cs |
| dc.description.result | výborně | cs |
| dc.identifier.sender | S2751 | cs |
| dc.identifier.thesis | TIA0007_EKF_N6202_6202T010_2016 | |
| dc.rights.access | openAccess | |