Original title: Použití markovských řetězců v modelech kreditního rizika
Translated title: The Application of the Markov Chains in Credit Risk Models
Authors: Bořánek, Jan ; Mandl, Petr (referee) ; Benková, Markéta (advisor)
Document type: Master’s theses
Year: 2009
Language: cze
Abstract: Credit risk management has become the key instrument for better portfolio diversification and related minimalization of possible loss. Upon the credit risk management we can estimate amount of company's loss brought with creditworthiness of its obligors. Lots of models dealing with credit risk have been developed and most of them are based on Markov Chains theory. This theory also makes up the basis of CreditMetrics, the model which we introduce. Rating migration matrix is the basic input into this model. Two chapters are concerned with constructing and modifying of such matrices. Other chapters deal at firs with general simulation and data analysis on the real credit portfolio come after. CD with input data and computational procedure in Mathematica is also added. The code is pasted as an appendix, too.

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/18952

Permalink: http://www.nusl.cz/ntk/nusl-295497


The record appears in these collections:
Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Master’s theses