Determination of Credit Risk for Debt Assets Portfolio

Ran, Guangyao

dc.contributor.advisor	Novotný, Josef
dc.contributor.author	Ran, Guangyao
dc.date.accessioned	2021-11-08T12:19:20Z
dc.date.available	2021-11-08T12:19:20Z
dc.date.issued	2021
dc.identifier.other	OSD002
dc.identifier.uri	http://hdl.handle.net/10084/145435
dc.description.abstract	The main purpose of this article is to estimate the economic capital of ten selected bond portfolios based on the CreditMetricsTM model, and to estimate the capital required for unexpected losses due to the credit risk of the Basel Agreement. It provides a possible way to compare the results of the Basel Agreement (including Basel I, Basel II and Basel III) with the CreditMetricsTM model.	en
dc.description.abstract	The main purpose of this article is to estimate the economic capital of ten selected bond portfolios based on the CreditMetricsTM model, and to estimate the capital required for unexpected losses due to the credit risk of the Basel Agreement. It provides a possible way to compare the results of the Basel Agreement (including Basel I, Basel II and Basel III) with the CreditMetricsTM model.	cs
dc.format.extent	4087097 bytes
dc.format.mimetype	application/pdf
dc.language.iso	en
dc.publisher	Vysoká škola báňská – Technická univerzita Ostrava	cs
dc.subject	Financial risk,Credit risk, CreditMetrcsTM and Basel agreement	en
dc.subject	Financial risk,Credit risk, CreditMetrcsTM and Basel agreement	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	Novotná, Martina
dc.date.accepted	2021-05-25
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	cs
dc.thesis.degree-program	Hospodářská politika a správa	cs
dc.thesis.degree-branch	Finance	cs
dc.description.result	dobře	cs
dc.identifier.sender	S2751
dc.identifier.thesis	RAN0036_EKF_N6202_6202T010_2021
dc.rights.access	openAccess