National Repository of Grey Literature 17 records found  1 - 10next  jump to record: Search took 0.01 seconds. 
Expected Risk of Loan Portfolio
Selementová, Martina ; Keprta, Stanislav (advisor) ; Herman, Jiří (referee)
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.
Credit risk
Srbová, Eliška ; Herman, Jiří (advisor) ; Hurt, Jan (referee)
This thesis deals with credit risk and selected methods of its evalua- tion. It is focused on assumptions, calculation methods, results and specifics of the CreditMetrics and the CreditRisk+ models. The CreditRisk+ model analytically determines the portfolio credit losses distribution that is caused by defaults of counterparties. In the CreditMetrics model, the credit migration risk is addition- ally considered and the future portfolio value distribution is calculated using the Monte Carlo simulation. The third approach covered in this thesis is the Solvency II, the set of requirements proposed by the European Union for determination of regulatory capital for insurance companies. In the practical part the three ap- proaches are applied on a set of three portfolios of different credit quality. Their results, particularly the determined level of capital required to cover the risk of unexpected credit losses, are analyzed and compared.
Credit risk
Srbová, Eliška ; Herman, Jiří (advisor) ; Hurt, Jan (referee)
This thesis deals with credit risk and selected methods of its evalua- tion. It is focused on assumptions, calculation methods, results and specifics of the CreditMetrics and the CreditRisk+ models. The CreditRisk+ model analytically determines the portfolio credit losses distribution that is caused by defaults of counterparties. In the CreditMetrics model, the credit migration risk is addition- ally considered and the future portfolio value distribution is calculated using the Monte Carlo simulation. The third approach covered in this thesis is the Solvency II, the set of requirements proposed by the European Union for determination of regulatory capital for insurance companies. In the practical part the three ap- proaches are applied on a set of three portfolios of different credit quality. Their results, particularly the determined level of capital required to cover the risk of unexpected credit losses, are analyzed and compared.
Concentration Risk
Marchalínová, Zuzana ; Herman, Jiří (advisor) ; Hurt, Jan (referee)
The goal of this thesis is to measure the concentration risk of a portfolio as a part of a investment risk considered from the view of insurance companies by various methods and also to compare achieved results. Concentration risk in credit portfolios originates in uneven distribution of invested funds to individual obligors and it is important to manage it. In the theoretical part there are two methods presented - one is being used in practice CreditMetrics), the other one, the EU Directive, will be put into effect in the near future (Solvency II). In the practical part the methods are applied on model portfolios and the results are compared in order to decide how the methods reflect the concentration risk.
Credit risk
Srbová, Eliška ; Herman, Jiří (advisor) ; Hurt, Jan (referee)
This thesis deals with credit risk and selected methods of its evalua- tion. It is focused on assumptions, calculation methods, results and specifics of the CreditMetrics and the CreditRisk+ models. The CreditRisk+ model analytically determines the portfolio credit losses distribution that is caused by defaults of counterparties. In the CreditMetrics model, the credit migration risk is addition- ally considered and the future portfolio value distribution is calculated using the Monte Carlo simulation. The third approach covered in this thesis is the Solvency II, the set of requirements proposed by the European Union for determination of regulatory capital for insurance companies. In the practical part the three ap- proaches are applied on a set of three portfolios of different credit quality. Their results, particularly the determined level of capital required to cover the risk of unexpected credit losses, are analyzed and compared.
Credit risk
Srbová, Eliška ; Herman, Jiří (advisor) ; Hurt, Jan (referee)
This thesis deals with credit risk and selected methods of its evalua- tion. It is focused on assumptions, calculation methods, results and specifics of the CreditMetrics and the CreditRisk+ models. The CreditRisk+ model analytically determines the portfolio credit losses distribution that is caused by defaults of counterparties. In the CreditMetrics model, the credit migration risk is addition- ally considered and the future portfolio value distribution is calculated using the Monte Carlo simulation. The third approach covered in this thesis is the Solvency II, the set of requirements proposed by the European Union for determination of regulatory capital for insurance companies. In the practical part the three ap- proaches are applied on a set of three portfolios of different credit quality. Their results, particularly the determined level of capital required to cover the risk of unexpected credit losses, are analyzed and compared.
The influence of risk measure on portfolio optimization
Pavko, Marek ; Herman, Jiří (advisor) ; Hurt, Jan (referee)
Název práce: Vliv rizikové míry na optimalizaci portfólia Autor: Marek Pavko Katedra: Katedra pravděpodobnosti a matematické statistky Vedoucí bakalářské práce: Mgr.Jiří Herman, eská pojištovna, a.s. Abstrakt: V tejto práci budeme študova' vplyv vo©by rizikovej miery na sprá- vanie sa portfólia pri ôsmich rôznych optimalizačných stratégiách. V časovom horizonte dvanástich rokov budeme skúma' výnosnos' a rizikovos' týchto stra- tégií. Tri stratégie sú založené na Markowitzovej teórii portfólia. Tri sú zalo- žené na maximalizácii výnosu. Ako benchmark sme použili rovnomerne rozložené portfólio. Posledným skúmaným portfóliom bolo portfólio zložené z jedného akci- ového indexu. Na základe rôznych mier rizika zhodnotíme výhodnos' jednotlivých stratégií. Medzi použité miery rizika patrili smerodatná odchýlka, Value at Risk a Conditional Value at Risk. Všetky optimalizačné úlohy boli riešené pomocou programu Mathematica na reálnych dátach. Klíčová slova: portfolio, riziko, optimalizace, výnos 1

National Repository of Grey Literature : 17 records found   1 - 10next  jump to record:
See also: similar author names
9 Herman, Jan
2 Herman, Jaromír
1 Herman, Jaroslav
7 Herman, Jiří
9 Heřman, Jan
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