Určení míry rizika portfolia finanční instituce

Abstract

The object of this graduation thesis is the clarification and implementation of current regulations concerning market risk in the banking and insurance systems. The main focus of this thesis is the application of legislation dealing with the risk management of the trading book in banking, respectively of the regulation of the minimum and solvency capital requirement of the insurance portfolio. The most important task is to quantify the degree of market risk for both these institutions using the criteria of Value at Risk and Expected Shortfall. In the first chapter the financial risks are specified, risk-adjusted assets are calculated, as well as the methodology of probability distributions. The following chapter is focused on methods of managing financial risks, the legislative approach of Basel II and Solvency II, and the distribution of selected random processes. The criteria for measuring risk, Value at Risk and Expected Shortfall and possible methods for their application are examined. The third chapter concerns the theoretical knowledge used to quantify the risk level of individual portfolios, taking into account the use of a specific process and methods of Value at Risk and Expected Shortfall. At the end of the chapter the processes and methods evaluated, are applied and compared with each other.