Determination of Credit Risk for Debt Assets Portfolio

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dc.contributor.advisorNovotný, Josef
dc.contributor.authorTian, Yuan
dc.contributor.refereeMelecký, Aleš
dc.date.accepted2016-05-24
dc.date.accessioned2016-11-01T13:24:05Z
dc.date.available2016-11-01T13:24:05Z
dc.date.issued2016
dc.descriptionImport 02/11/2016cs
dc.description.abstractThere 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.abstractThere 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.description.department154 - Katedra financí
dc.description.resultvýborněcs
dc.format.extent2223557 bytes
dc.format.mimetypeapplication/pdf
dc.identifier.otherOSD002cs
dc.identifier.senderS2751cs
dc.identifier.thesisTIA0007_EKF_N6202_6202T010_2016
dc.identifier.urihttp://hdl.handle.net/10084/113578
dc.language.isoen
dc.publisherVysoká škola báňská - Technická univerzita Ostravacs
dc.rights.accessopenAccess
dc.subjectCredit risk, risk management and models, CreditMetrics, Basel I, Basel II, Basel III, value of the portfolio, calculation of credit risken
dc.subjectCredit risk, risk management and models, CreditMetrics, Basel I, Basel II, Basel III, value of the portfolio, calculation of credit riskcs
dc.thesis.degree-branchFinancecs
dc.thesis.degree-grantorVysoká škola báňská - Technická univerzita Ostrava. Ekonomická fakultacs
dc.thesis.degree-levelMagisterský studijní programcs
dc.thesis.degree-nameIng.
dc.thesis.degree-programHospodářská politika a správacs
dc.titleDetermination of Credit Risk for Debt Assets Portfolioen
dc.title.alternativeDeterminace kreditního rizika u portfolia dluhových aktivcs
dc.typeDiplomová prácecs

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Vysokoškolské kvalifikační práce Ekonomické fakulty / Theses and dissertations of Faculty of Economics (EKF)