Determination of Credit Risk for Debt Assets Portfolio

Liang, Nanmei

dc.contributor.advisor	Novotný, Josef
dc.contributor.author	Liang, Nanmei
dc.date.accessioned	2017-08-23T09:13:47Z
dc.date.available	2017-08-23T09:13:47Z
dc.date.issued	2017
dc.identifier.other	OSD002
dc.identifier.uri	http://hdl.handle.net/10084/117768
dc.description.abstract	The goal of this thesis is to compute and compare the value of capital requirement for unexpected losses based on credit risk of ten debt assets portfolio under Basle Ⅰ, Basel Ⅱ and Basel Ⅲ and the value of economic capital by using CreditMetrics^TM model.	en
dc.description.abstract	The goal of this thesis is to compute and compare the value of capital requirement for unexpected losses based on credit risk of ten debt assets portfolio under Basle Ⅰ, Basel Ⅱ and Basel Ⅲ and the value of economic capital by using CreditMetrics^TM model.	cs
dc.format.extent	5243650 bytes
dc.format.mimetype	application/pdf
dc.language.iso	en
dc.publisher	Vysoká škola báňská - Technická univerzita Ostrava	cs
dc.subject	Risk management	en
dc.subject	financial risks	en
dc.subject	credit risk	en
dc.subject	debt assets portfolio	en
dc.subject	Basel agreements	en
dc.subject	CreditMetrics^TM	en
dc.subject	capital requirement	en
dc.subject	economic capital	en
dc.subject	Risk management	cs
dc.subject	financial risks	cs
dc.subject	credit risk	cs
dc.subject	debt assets portfolio	cs
dc.subject	Basel agreements	cs
dc.subject	CreditMetrics^TM	cs
dc.subject	capital requirement	cs
dc.subject	economic capital	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	Guo, Haochen
dc.date.accepted	2017-05-24
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	dobře	cs
dc.identifier.sender	S2751	cs
dc.identifier.thesis	LIA0005_EKF_N6202_6202T010_2017
dc.rights.access	openAccess