Stanovení kreditního rizika portfolia dluhových instrumentů pomocí metodologie CreditMetrics

Abstract

The thesis is focused on the description of the CreditMetrics methodology. CreditMetrics is a tool for assessing portfolio credit risk due to changes in debt value caused by changes in obligor credit quality. CreditMetrics methodology was developed by J. P. Morgan in 1997 to be the benchmark for standardizing credit risk measurement. The practical part is focused on evaluation and analysis of credit risk of portfolio consisting of the corporate and government bonds. The results achieved using the methodology CreditMetrics are finally analyzed by statistical variables - standard deviation, the marginal statistics and percentile - in order to achieve the greatest efficiency in the management of a portfolio of debt instruments.