Posouzení vybraných přístupů stanovení kreditního rizika komerční banky
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Date issued
Authors
Novotný, Josef
Journal Title
Journal ISSN
Volume Title
Publisher
Vysoká škola báňská - Technická univerzita Ostrava
Location
ÚK/Sklad diplomových prací
Signature
201300015
Abstract
This thesis is focused on methods of setting a capital requirement for covering unexpected losses from credit risk in banks. In thesis is deiscribed credit risk including its basic specifics, traditional models of credit risk managing including CreditMetrics methodology. The paper i salso devodet to concept of Capital adequacy and Basel I (Basel Capital Accord), Basel II (New Basel Capital Accord) and Basel III, that determinate the capital requirement for covering credit risk. Selected credit risk methodologies are apllied and compared to portfolio obligations.
Description
Import 15/01/2013
Subject(s)
capital requirement, economic capital, expected loss, unexpected loss, Basel 1 (The Basel Capital Accord), Basel II (The New Basel Capital Accord), Basel III, Standardised Approach, Foundation IRB, Credit Metrics methodology