Original title: Modelování kreditního rizika pro účely solventnosti pojišťoven
Translated title: Credit Risk Modelling for Insurance Solvency Purposes
Authors: Bošeľa, Michal ; Hurt, Jan (referee) ; Lozsi, Imrich (advisor)
Document type: Master’s theses
Year: 2009
Language: cze
Abstract: 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.

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/20800

Permalink: http://www.nusl.cz/ntk/nusl-275305


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Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Master’s theses