Stanovení kreditního rizika portfolia státních dluhopisů

Abstract

Thesis deals with determination of credit risk using the metodology CreditMetrics on europpean government bonds portfolio. In the first part government bonds and bond marekt are characterized. Their specifications are said and compared to other securities. In the second chapter the methodology Credit Metrics, which is applied to a specific bond portfolio is described. In the third chapter methodology CreditMetrics is applied to a specific government bond portfolio and credit risk is quantified.