Název:
Modelování kreditního rizika pro účely solventnosti pojišťoven
Překlad názvu:
Credit Risk Modelling for Insurance Solvency Purposes
Autoři:
Bošeľa, Michal ; Hurt, Jan (oponent) ; Lozsi, Imrich (vedoucí práce) Typ dokumentu: Diplomové práce
Rok:
2009
Jazyk:
cze
Abstrakt: In this work we study credit risk pricing models from an information based pespective. This perspective implies that to distinguish which model is applicable, structural or reduced form, one needs to understand what information is available to the modeler. We also deal with a new information-based framework for credit risk modelling that is concerned with how to model the market ltration by use of the concept of partial information. This framework avoids the use of inaccesible stopping times. The pricing of several credit risk derivatives is discussed in an information-based framework. Applications of the information-based approach to insurance claims reserves and credit portfolio risk are discussed as well.