Stanovení kreditního rizika pro portfolio finančních aktiv
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Jandl, Pavel
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Vysoká škola báňská - Technická univerzita Ostrava
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Abstract
The main issue of this thesis is credit risk. The thesis includes the main characteristics of financial risks and basic concepts. There is also describes Basel I, II and III. The next part includes desriptions of the CreditMetrics model and parameters. In this thesis are also describes credit risk management, ratings and ratings agencies. The last part is application part, where is used financial assets portfolio.
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Import 11/07/2012
Subject(s)
Risk, financial risks, credit risk, bond, CreditMetrics, Basel, marginal risk, standard deviation, variance, VaR, capital requirement