Aplikace metodologie CreditMetrics na portfolio dluhových instrumentů
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Ručková, Petra
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Vysoká škola báňská - Technická univerzita Ostrava
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Abstract
The topic of this master thesis is Application of CreditMetrics Methodology for Portfolio of Debt Instruments. The theoretical part is focused mainly on credit risk and description of CreditMetrics methodology which is used for determination of credit risk. In the practical part the model itself is applied on the selected portfolio of bonds traded on the Swiss exchange.
Description
Import 22/07/2015
Subject(s)
Bond, credit model, credit risk, CreditMetrics, financial risk, Monte Carlo, rating, recovery rate, transition matrix, Value at Risk, yield curve