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National Repository of Grey Literature 3 records found  Search took 0.00 seconds. 
Actuarial approach to credit risk modelling
 Benešová, Milena ; Benková, Markéta (advisor) ; Mandl, Petr (referee)
This thesis deals with one of the models for the credit risk measurement - the model CreditRisk+. The theoretical part describes the theory which is the basis for this model. Further, the thesis demonstrates an applicative example of calculation distribution of default losses. The model uses Poisson distribution as the distribution of the number of defaults from this we can proceed to the distribution of default losses which is output from this model. The theoretical part also presents two variants of this model. The first of this variant is the calculation of the distribution of default losses with fixed default rates. The main asset of this model is the second variant which calculates with the variable default rates. The applied part deals with the recurrence relation which is described with the model-makers. This thesis deals with the combination of CreditRisk+ with the another model known as CreditMetrics, too. The calculation is realized on the basis of Monte Carlo's simulation of the future portfolio. The aim of this part is to demonstrate how this model is applicable in practise.
Detailed record
Lévy processes
 Benešová, Milena ; Beneš, Viktor (referee) ; Staněk, Jakub (advisor)
Detailed record
Actuarial approach to credit risk modelling
 Benešová, Milena ; Mandl, Petr (referee) ; Benková, Markéta (advisor)
This thesis deals with one of the models for the credit risk measurement - the model CreditRisk+. The theoretical part describes the theory which is the basis for this model. Further, the thesis demonstrates an applicative example of calculation distribution of default losses. The model uses Poisson distribution as the distribution of the number of defaults from this we can proceed to the distribution of default losses which is output from this model. The theoretical part also presents two variants of this model. The first of this variant is the calculation of the distribution of default losses with fixed default rates. The main asset of this model is the second variant which calculates with the variable default rates. The applied part deals with the recurrence relation which is described with the model-makers. This thesis deals with the combination of CreditRisk+ with the another model known as CreditMetrics, too. The calculation is realized on the basis of Monte Carlo's simulation of the future portfolio. The aim of this part is to demonstrate how this model is applicable in practise.
Detailed record

See also: similar author names
1 BENEŠOVÁ, Marcela
15 BENEŠOVÁ, Marie
21 BENEŠOVÁ, Markéta
21 BENEŠOVÁ, Martina
8 BENEŠOVÁ, Michaela
10 BENEŠOVÁ, Monika
1 Benešová, M.
4 Benešová, Magdalena
4 Benešová, Magdaléna
15 Benešová, Marie
21 Benešová, Markéta
21 Benešová, Martina
8 Benešová, Michaela
3 Benešová, Michala
4 Benešová, Miroslava
10 Benešová, Monika
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