Determinace kreditního rizika u portfolia dluhových aktiv

Abstract

The diploma thesis deals with the determination of the regulatory capital requirement for covering unexpected losses from credit risk according to Basel agreements and economic capital by CreditMetrics methodology on portfolio of corporate bonds of German companies traded on the Frankfurt Stock Exchange. The work is divided into two main parts. In the first (theoretical) part, there are characterized financial risks. The largest section is devoted to credit risk and methods of it’s measurement and control. The content of the second (practical) part is the calculation of the regulatory capital requirement for covering unexpected losses from credit risk according to Basel I, Basel II and Basel III and furthermore, the calculation of economic capital by CreditMetrics methodology.