Modelování pravděpodobnosti úpadku středoevropských firem

Abstract

The aim of thesis is modeling of probability of default for central european companies using the model CreditMetricsTM, calculation of parameters of the probability distribution of credit risk and influence assessment of instruments in the portfolio on the riskiness of the portfolio. The theoretical part is focused on describing of credit risk and scoring and proprietary credit risk models. The main part of this chapter is description of the analytical and simulation credit risk calculation for one instrument and for portfolio using CreditMetricsTM. In the practical part is calculated portfolio credit risk using CreditMetricsTM and Monte Carlo Simulation. There are calculated parameters of the probability distribution of credit risk too. In the last part of thesis are summarized the obtained results and applicated approaches correlations between bonds and asset correlations. The value of the mean loss is 15 262,45 EUR. The standard deviation reaches 49 985,64 EUR. The VaR of the portfolio is 109 400,46 EUR and economic capital amounts to 94 138,01 EUR. From the correlation analysis between bonds was found that the most risky bond in the portfolio is bond PGNiG with risk of 2,83 %. The assets correlations showed that firms were affected small by systematic risk factor and on average of 99,19 % by idiosyncratic factor