Stanovení kreditního rizika portfolia dluhových aktiv

Abstract

The thesis deals with credit risk and its quantification. Credit risk is considered to be the most significant type of the risk for financial institutions. It represents an investor´s risk of loss arising from the default of debtor. The thesis aims to quantify the amount of credit risk of debt assets portfolio. First, the chosen models of credit risk are described and then CreditMetrics model is applied to actual debt portfolio. For solution is used Monte Carlo simulation. From the results achieved by using the methodology CreditMetrics are determined values that characterize the amount of credit risk.