Determinace kreditního rizika u portfolia dluhových aktiv

Abstract

The goal of this thesis is to assess and compare, to the size that capital needs for cover of an unexpected loss from credit risk via the Basile treaty and the economic capital by method of CreditMetricsTM. This labour also contains the introduction and the conclusion; another three chapters. First, theoretical, which describes basic financial risks and emphasises in credit risk. The second, shows characteristics of complex control management credit risk, among which are also a part of CreditMetricsTM. Afterwards we individually describe the Basile treaty about capital adequacy. Finally the application is determined with the size of both regulatory and economic capital.