Determination of Credit Risk for Debt Assets Portfolio
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Vysoká škola báňská - Technická univerzita Ostrava
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Abstract
The goal of this thesis is to compute and compare the value of capital requirement for unexpected losses based on credit risk of ten debt assets portfolio under Basle Ⅰ, Basel Ⅱ and Basel Ⅲ and the value of economic capital by using CreditMetrics^TM model.
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Risk management, financial risks, credit risk, debt assets portfolio, Basel agreements, CreditMetrics^TM, capital requirement, economic capital