Odhad kreditního rizika portfolia dluhopisů

Abstract

The aim of the thesis is to determine the credit risk of a portfolio of twelve selected bonds from the Börse Frankfurt, using the CreditMetrics methodology in one-year time horizon, and to compare this risk when the Recovery Rate is changed. The thesis is divided into five parts, with the first part is the introduction and the last part is the conclusion. The theoretical part of the thesis is the second and third chapter. The fourth chapter of the thesis is the application part. In the fourth chapter, the credit risk of the bond portfolio is estimated using Matlab, based on CreditMetrics methodology and the results obtained such as the resulting Value at Risk, Economic Capital and Marginal Risk are interpreted. The fourth chapter also includes a comparison of the credit risk estimation results when the rate of return is changed.