Determination of Credit Risk for Debt Assets Portfolio
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Vysoká škola báňská – Technická univerzita Ostrava
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Abstract
The main purpose of this article is to estimate the economic capital of ten selected bond portfolios based on the CreditMetricsTM model, and to estimate the capital required for unexpected losses due to the credit risk of the Basel Agreement. It provides a possible way to compare the results of the Basel Agreement (including Basel I, Basel II and Basel III) with the CreditMetricsTM model.
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Financial risk,Credit risk, CreditMetrcsTM and Basel agreement