Determination of Credit Risk for Debt Assets Portfolio

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dc.contributor.advisorNovotný, Josef
dc.contributor.authorRan, Guangyao
dc.contributor.refereeNovotná, Martina
dc.date.accepted2021-05-25
dc.date.accessioned2021-11-08T12:19:20Z
dc.date.available2021-11-08T12:19:20Z
dc.date.issued2021
dc.description.abstractThe 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.en
dc.description.abstractThe 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.cs
dc.description.department154 - Katedra financícs
dc.description.resultdobřecs
dc.format.extent4087097 bytes
dc.format.mimetypeapplication/pdf
dc.identifier.otherOSD002
dc.identifier.senderS2751
dc.identifier.thesisRAN0036_EKF_N6202_6202T010_2021
dc.identifier.urihttp://hdl.handle.net/10084/145435
dc.language.isoen
dc.publisherVysoká škola báňská – Technická univerzita Ostravacs
dc.rights.accessopenAccess
dc.subjectFinancial risk,Credit risk, CreditMetrcsTM and Basel agreementen
dc.subjectFinancial risk,Credit risk, CreditMetrcsTM and Basel agreementcs
dc.thesis.degree-branchFinancecs
dc.thesis.degree-grantorVysoká škola báňská – Technická univerzita Ostrava. Ekonomická fakultacs
dc.thesis.degree-levelMagisterský studijní programcs
dc.thesis.degree-nameIng.
dc.thesis.degree-programHospodářská politika a správacs
dc.titleDetermination of Credit Risk for Debt Assets Portfolioen
dc.title.alternativeDeterminace kreditního rizika u portfolia dluhových aktivcs
dc.typeDiplomová prácecs

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Vysokoškolské kvalifikační práce Ekonomické fakulty / Theses and dissertations of Faculty of Economics (EKF)