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KMV model in the Czech capital market
Jezbera, Lukáš ; Witzany, Jiří (advisor) ; Burešová, Jana (referee)
The thesis is focused on the options of quantifying credit risk by using the concept of the KMV model. The introduction outlines the basic approaches to measuring credit risk. In the following chapters is specified the nature of KMV model with the focus on its application in the Czech capital market. Self-calibration of the KMV model is made in this part. The analytical part related to the quantification of credit risk using the KMV model is implemented on selected companies which are traded on the Prague Stock Exchange. The results obtained are consequently confronted with the official rating degrees of agency Moody's.
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Credit risk insurance
Pospíšil, Marek ; Ducháčková, Eva (advisor) ; Daňhel, Jaroslav (referee)
The theme of the work is credit risk insurance. The main objective is to analyze this specific type of insurance, define its role in insurance system and for covering credit risk. Analyzed are both commercial insurance and insurance with state support. The important part of this work is also analysis of czech and world insurance markets and influence of global economic recession. At the end of the work there are presented alternative instruments for minimizing credit risk and their comparison with insurance products.
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Credit Risk Management In The Lease Company
Koďousek, Tomáš ; Půlpánová, Stanislava (advisor) ; Teplý, Petr (referee)
This thesis is focused on the credit risk management with special orientation in the lease companies. Firstly, the basic risk features are defined, the general risk management process is explained and risks which the lease companies are exposed to are classified. The main theoretical part analyses the features of the credit risk important for the credit analysis, i.e. the classic approach to the evaluation of the borrower's creditworthiness. The theoretical part is the basis for the practical part within which the analysis of the credit risk management process in the lease company is performed, including the case study analysis.
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Mortgage loans
Kohlíčková, Jana ; Jablonský, Petr (advisor)
This bachelor thesis deals with a estimation of government and another subject of financial market of mortgage loans and the need to provide to clients. Also illustrate the basic characters and types of mortgage loans and the effect of new regulations in their supplying. In the last chapter are discussed further regulation, which is directly related to mortgage loans, such as remuneration, tightening capital requirements etc.
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Risk management and internal capital adequacy assessment process
Býčková, Iveta ; Kalínská, Emílie (advisor) ; Čajka, Radek (referee)
This bachelor thesis is focused on the New Basel Capital Accord, so-called Basel II and Internal capital adequacy assessment process. This thesis is devided into four parts. The first section defines every single risk in the bank. The second part attend to Basel I a Basel II. The thesis addresses the development of rules for the calculation of capital adequacy, describes tree pilars of Basel II and regulatory capital. The third part of the thesis is focused on common problems of risk management and banks can choose from qualitative and quantitative analysis. The final part contains with the calculation of capital requirements for credit, market and operational risk. This part deals with unexpected and expected loss as well as the various methods for calculation of capital requirements within each risk is involved, i.e., the basic and advanced methods. Advanced approaches within each risk, i.e. approach based on internal ratings (IRB), the method of value at risk (VaR) and the approach AMA can be used by banks after previous agreement of the Czech National Bank.
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Intensity based models of credit risk
Novosad, Jiří ; Blahová, Naděžda (advisor)
This thesis describes intensity based models of credit risk. The first chapter deals with credit risk in general. It describes classification of credit risk. Further it describes various methods of credit risk measuring. There are detailed analysed two models of credit risk in the second chapter. Concretely there are basic Jarrow-Turnbull model and upgrade Markov model which uses transition matrix of credit ratings. There are computed a few illustrative examples of both models in the application part of bachelor thesis. There are studied effects of some input data on Jarrow-Turnbull model.
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Credit risk management in the Czech banking
Valenčinová, Anna ; Půlpánová, Stanislava (advisor) ; Servusová, Simona (referee)
This thesis deals with the management of credit risk in the Czech banking sector. It consists of four separate chapters. The first three chapters provide a theoretical basis for important knowledge concerning the issue. The first chapter provides general background information about the bank, the importance of bank regulation and supervision, and all types of banking risks, with emphasis on credit risk. The second chapter deals with the system of credit risk management in banks, which includes the identification, quantification, monitoring and reducing of credit risk. The capital adequacy and rules for its determination under Basel II are contained in the third chapter. The last chapter provides an analysis of selected indicators of the Czech banking sector and assessment of credit risk management in the two largest Czech banks, on the basis of specific fair value of their annual reports.
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Principles of bank lending to small and medium-sized enterprises
Cernenco, Marina ; Půlpánová, Stanislava (advisor)
The subject of this thesis is the credit risk and management methods applied in the lending process to small and medium-sized enterprises. Significant attention is paid to stages of credit process, organizational structure of credit department and division of authority, credit policies, rules and procedures, which are applicable in bank for identification, measurement, control and possible reduction of the negative impact of credit risk on bank activities. In this context, there are also discussed methods of assessment of the counter-parties' creditworthiness, which are based on the principles of rating and financial analysis and help bank analytics in decision-making process. The regulatory requirements of the Czech National Bank and innovation in ways of calculation of capital adequacy, which brought the current concept Basel II, have very important role and considerable influence on the management of risks. In the application part of this work the complex analysis of Znovín Znojmo ltd. for illustration of basic banking procedures.
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Credit risk measurement
Sobotka, Jan ; Blahová, Naděžda (advisor)
The main goal of the thesis is a description of methods for measuring credit risk and a detailed analysis of its quantification by using the structural model CreditMetrics. This thesis is primarily dividend into three parts. The first chapter deals with the credit risk, its structure, specific charakteristics and its connection with the other financial risks. The second chapter examines the charakteristics and metodology of calculating credit risk by using structural model CreditMetrics. In the third chapter of this thesis is the model applied to a portfolio consisting of one, and then two bonds. There are assessed the strengths and weaknesses of the model in conclusion and this part also summarizes the results obtained.
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