Original title: Očekávané riziko úvěrového portfolia
Translated title: Expected Risk of Loan Portfolio
Authors: Selementová, Martina ; Herman, Jiří (referee) ; Keprta, Stanislav (advisor)
Document type: Master’s theses
Year: 2009
Language: cze
Abstract: The rst part of the present work focuses on expected risk of loan portfolio in sense of capital adequacy within IRB approach with accent on input parameters PD, LGD, E and M. We deal with determining of speci c provision to incurred credit loss in compliance with IAS 39 and regarding the analysis of both approaches we show, that in recent conditions speci c provision does not correspond with expected loss as required by Basel II. Next we introduce the internal models for estimating PD, LGD and CF, which are inputs to the calculation of expected loss and partly speci c provision. We discuss the expected loss as a factor determining the nal value of a loan and we show a calculation of risk premium based on the time to default. Last we compare current method for calculation of capital requirement with method based on conditional loss given default.

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/27651

Permalink: http://www.nusl.cz/ntk/nusl-282845


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Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Master’s theses